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IR15-010_Fdez-GomezPuig.pdf (1.09 MB)

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Working paper

Publication date

2015

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cc-by-nc-nd, (c) Fernández-Rodríguez et al., 2015
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/63529

Volatility spillovers in EMU sovereign bond markets [WP]

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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.

Subject

Anàlisi de regressió, Unions monetàries, Països de la Unió Europea, Mercat financer, Liquiditat (Economia), Crèdit

Subject (English)

Regression analysis, Monetary unions, European Union countries, Financial market, Liquidity (Economics), Credit

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Citation

FERNÁNDEZ RODRÍGUEZ, Fernando, GÓMEZ-PUIG, Marta and SOSVILLA RIVERO, Simón. Volatility spillovers in EMU sovereign bond markets [WP]. IREA – Working Papers. 2015. Vol.  IR15/10. ISSN 2014-1254. [consulted: 10 of August of 2026]. Available at: https://hdl.handle.net/2445/63529

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