# name
Volatility spillovers in EMU sovereign bond markets [WP]

# metadata.dc.description.abstract[].value
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.

# metadata.dc.publisher[].value
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública

# metadata.dc.rights[].value
cc-by-nc-nd, (c) Fernández-Rodríguez et al., 2015

# metadata.dc.source[].value
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

# metadata.dc.title[].value
Volatility spillovers in EMU sovereign bond markets [WP]