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; nº 04, 2015, ]

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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
Volume:2015
Number:04
ID Code:38218
Deposited On:22 Jun 2016 12:06
Last Modified:20 Feb 2017 14:12

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