Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/63529
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fernández Rodríguez, Fernando, 1954- | - |
dc.contributor.author | Gómez-Puig, Marta | - |
dc.contributor.author | Sosvilla Rivero, Simón | - |
dc.date.accessioned | 2015-03-03T10:56:03Z | - |
dc.date.available | 2015-03-03T10:56:03Z | - |
dc.date.issued | 2015 | - |
dc.identifier.issn | 2014-1254 | - |
dc.identifier.uri | http://hdl.handle.net/2445/63529 | - |
dc.description.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. | - |
dc.format.extent | 32 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2015/201510.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2015, IR15/10 | - |
dc.relation.ispartofseries | [WP E-IR15/10] | - |
dc.rights | cc-by-nc-nd, (c) Fernández-Rodríguez et al., 2015 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) | - |
dc.subject.classification | Anàlisi de regressió | - |
dc.subject.classification | Unions monetàries | - |
dc.subject.classification | Països de la Unió Europea | - |
dc.subject.classification | Mercat financer | - |
dc.subject.classification | Liquiditat (Economia) | - |
dc.subject.classification | Crèdit | - |
dc.subject.other | Regression analysis | - |
dc.subject.other | Monetary unions | - |
dc.subject.other | European Union countries | - |
dc.subject.other | Financial market | - |
dc.subject.other | Liquidity (Economics) | - |
dc.subject.other | Credit | - |
dc.title | Volatility spillovers in EMU sovereign bond markets [WP] | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2015-03-03T10:56:04Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
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 |
This item is licensed under a Creative Commons License