Volatility spillovers in EMU sovereign bond markets [WP]

Vista senzilla d'ítem
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.date.updated2015-03-03T10:56:04Z
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.identifier.issn2014-1254
dc.identifier.urihttps://hdl.handle.net/2445/63529
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.accessRightsinfo:eu-repo/semantics/openAccess
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

Fitxers

Paquet original

Mostrant 1 - 1 de 1
Miniatura
Nom:
IR15-010_Fdez-GomezPuig.pdf
Mida:
1.09 MB
Format:
Adobe Portable Document Format
Descarregar

Col·leccions

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