Advanced Search
MyIDEAS: Login

Volatility-Spillover E ffects in European Bond Markets

Contents:

Author Info

Abstract

We 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.hha.dk/fin/cms/wp/D03_8.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Helle Vinbaek Stenholt)
Download Restriction: no

Bibliographic Info

Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 03-8.

as in new window
Length: 38 pages
Date of creation: 01 Oct 2003
Date of revision:
Handle: RePEc:hhb:aarfin:2003_008

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

Related research

Keywords: Euro; GARCH; Government Bonds; International Bond Markets; Volatility-Spillover;

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
  2. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  3. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2003. "Common factors in international bond returns," Open Access publications from Tilburg University urn:nbn:nl:ui:12-123825, Tilburg University.
  4. Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
  5. Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Discussion Paper 2003-114, Tilburg University, Center for Economic Research.
  6. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
  7. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  8. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  9. Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," The Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.
  10. Ilmanen, Antti, 1995. " Time-Varying Expected Returns in International Bond Markets," Journal of Finance, American Finance Association, vol. 50(2), pages 481-506, June.
  11. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  12. Andrew Clare & Ilias Lekkos, 2000. "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England.
  13. Geert Bekaert & Campbell R. Harvey, 1997. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  14. Laopodis, Nikiforos T., 2004. "European and international asymmetry in the volatility transmission mechanism: the "German Dominance Hypothesis" revisited," Journal of Economics and Business, Elsevier, vol. 56(2), pages 75-97.
  15. Bodart, Vincent & Reding, Paul, 1999. "Exchange rate regime, volatility and international correlations on bond and stock markets," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 133-151, January.
  16. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
  17. Karolyi, G Andrew & Stulz, Rene M, 1996. " Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, vol. 51(3), pages 951-86, July.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Tuysuz, Sukriye & Kuhry, Yves, 2007. "Interactions between interest rates and the transmission of monetary and economic news: the cases of US and UK," MPRA Paper 5255, University Library of Munich, Germany.
  2. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics.
  3. Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  4. Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS.
  5. L. Baele & K. Inghelbrecht, 2006. "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/413, Ghent University, Faculty of Economics and Business Administration.
  6. Balli, Faruk, 2008. "Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?," MPRA Paper 10162, University Library of Munich, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hhb:aarfin:2003_008. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helle Vinbaek Stenholt).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.