Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/63529
Title: Volatility spillovers in EMU sovereign bond markets [WP]
Author: Fernández-Rodríguez, Fernando
Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Keywords: Anàlisi de regressió
Unions monetàries
Països de la Unió Europea
Mercat financer
Liquiditat (Economia)
Crèdit
Regression analysis
Monetary unions
European Union countries
Financial market
Liquidity (Economics)
Credit
Issue Date: 2015
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Abstract: We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.
Note: Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2015/201510.pdf
It is part of: IREA – Working Papers, 2015, IR15/010
URI: http://hdl.handle.net/2445/63529
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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