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http://hdl.handle.net/2445/63529| Title: | Volatility spillovers in EMU sovereign bond markets [WP] |
| Author: | Fernández Rodríguez, Fernando, 1954- Gómez-Puig, Marta Sosvilla Rivero, Simón |
| 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 |
| Series/Report no: | [WP E-IR15/10] |
| 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, IR15/10 |
| 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)) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| IR15-010_Fdez-GomezPuig.pdf | 1.12 MB | Adobe PDF | View/Open |
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