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Volatility spillovers in EMU sovereign bond markets

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Fernández-Rodríguez, Fernando and Gómez-Puig, Marta and Sosvilla-Rivero, Simón (2015) Volatility spillovers in EMU sovereign bond markets. [ Working Papers on International Economics and Finance; nº 15-03, ISSN: 1696-6376 ]

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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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Sovereign debt crisis, Euro area, Market Linkages, Vector Autoregression, Variance Decomposition.
Subjects:Social sciences > Economics > Depressions
Social sciences > Economics > Econometrics
Social sciences > Economics > World economy
Social sciences > Economics > Finance
Social sciences > Economics > Economic integration
Social sciences > Economics > Stock exchanges
JEL:C53, E44, F36, G15
Series Name:Working Papers on International Economics and Finance
Volume:
Number:15-03
ID Code:30622
Deposited On:02 Jul 2015 08:22
Last Modified:19 Dec 2018 09:59

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