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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/63529
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dc.contributor.authorFernández Rodríguez, Fernando, 1954--
dc.contributor.authorGómez-Puig, Marta-
dc.contributor.authorSosvilla Rivero, Simón-
dc.date.accessioned2015-03-03T10:56:03Z-
dc.date.available2015-03-03T10:56:03Z-
dc.date.issued2015-
dc.identifier.issn2014-1254-
dc.identifier.urihttp://hdl.handle.net/2445/63529-
dc.description.abstractWe 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.extent32 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública-
dc.relation.isformatofReproducció del document publicat a: http://www.ub.edu/irea/working_papers/2015/201510.pdf-
dc.relation.ispartofIREA – Working Papers, 2015, IR15/10-
dc.relation.ispartofseries[WP E-IR15/10]-
dc.rightscc-by-nc-nd, (c) Fernández-Rodríguez et al., 2015-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceDocuments de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))-
dc.subject.classificationAnàlisi de regressió-
dc.subject.classificationUnions monetàries-
dc.subject.classificationPaïsos de la Unió Europea-
dc.subject.classificationMercat financer-
dc.subject.classificationLiquiditat (Economia)-
dc.subject.classificationCrèdit-
dc.subject.otherRegression analysis-
dc.subject.otherMonetary unions-
dc.subject.otherEuropean Union countries-
dc.subject.otherFinancial market-
dc.subject.otherLiquidity (Economics)-
dc.subject.otherCredit-
dc.titleVolatility spillovers in EMU sovereign bond markets [WP]-
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2015-03-03T10:56:04Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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