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Is the EMU government bond market a playground for asymmetries?

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  • Dragomirescu-Gaina, Catalin
  • Philippas, Dionisis

Abstract

We investigate the volatility dynamics of some major European Monetary Union sovereign bond markets. We provide an endogenous identification in terms of two Markov switching regimes for market volatility and analyze the impact of capital and trade flows together with policy actions on the persistence of volatility swings.

Suggested Citation

  • Dragomirescu-Gaina, Catalin & Philippas, Dionisis, 2013. "Is the EMU government bond market a playground for asymmetries?," The Journal of Economic Asymmetries, Elsevier, vol. 10(1), pages 21-31.
    • Handle: RePEc:eee:joecas:v:10:y:2013:i:1:p:21-31
    DOI: 10.1016/j.jeca.2013.09.001
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    2. Kenourgios, Dimitris & Asteriou, Dimitrios & Samitas, Aristeidis, 2013. "Testing for asymmetric financial contagion: New evidence from the Asian crisis," The Journal of Economic Asymmetries, Elsevier, vol. 10(2), pages 129-137.
    3. Dragomirescu-Gaina, Catalin & Philippas, Dionisis & Goutte, Stéphane, 2023. "How to ‘Trump’ the energy market: Evidence from the WTI-Brent spread," Energy Policy, Elsevier, vol. 179(C).
    4. Bikramaditya Ghosh & Spyros Papathanasiou & Dimitrios Kenourgios, 2022. "Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads," Sustainability, MDPI, vol. 14(21), pages 1-10, October.
    5. Avdoulas Christos & Bekiros Stelios & Lucey Brian, 2020. "The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-23, September.

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