Volatility-Spillover E ﬀects in European Bond Markets
AbstractWe analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We ﬁnd strong statistical evidence of volatility-spillover e ﬀects from both the US and Europe into the individual bond markets.For the EMU countries,the US volatility-spillover effects are rather weak whereas the European volatility-spillover effects are strong.The opposite applies to the non-EMU countries.Pure local volatility e ﬀects are substantial. The introduction of the euro has strengthened the European volatility-spillover effects for the EMU countries.The non-EMU countries are unaffected hereby.
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Bibliographic InfoPaper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 03-8.
Length: 38 pages
Date of creation: 01 Oct 2003
Date of revision:
Note: 2nd version
Contact details of provider:
Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Fax: + 45 86 15 19 43
Web page: http://www.asb.dk/about/departments/bs.aspx
More information through EDIRC
Euro; GARCH; Government Bonds; International Bond Markets; Volatility-Spillover;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-01-25 (All new papers)
- NEP-EEC-2004-01-25 (European Economics)
- NEP-ETS-2004-01-25 (Econometric Time Series)
- NEP-FIN-2004-01-25 (Finance)
- NEP-IFN-2004-01-25 (International Finance)
- NEP-RMG-2004-01-25 (Risk Management)
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