Fernández Rodríguez, Fernando, 1954-Gómez-Puig, MartaSosvilla Rivero, Simón2015-03-032015-03-0320152014-1254https://hdl.handle.net/2445/63529We 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.32 p.application/pdfengcc-by-nc-nd, (c) Fernández-Rodríguez et al., 2015http://creativecommons.org/licenses/by-nc-nd/3.0/Anàlisi de regressióUnions monetàriesPaïsos de la Unió EuropeaMercat financerLiquiditat (Economia)CrèditRegression analysisMonetary unionsEuropean Union countriesFinancial marketLiquidity (Economics)Creditinfo:eu-repo/semantics/workingPaper2015-03-03info:eu-repo/semantics/openAccess