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Volatility spillovers in EMU sovereign bond markets


  • Fernando Fernández-Rodríguez

    () (Department of Quantitative Methods in Economics, Universidad de Las Palmas de Gran Canaria.)

  • Marta Gómez-Puig

    () (Department of Economic Theory, Universitat de Barcelona.)

  • Simón Sosvilla-Rivero

    () (Complutense Institute of International Studies, Universidad Complutense de Madrid.)


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.

Suggested Citation

  • Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Volatility spillovers in EMU sovereign bond markets," Working Papers del Instituto Complutense de Estudios Internacionales 1504, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
  • Handle: RePEc:ucm:wpaper:1504

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    References listed on IDEAS

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    Cited by:

    1. repec:eee:ecmode:v:64:y:2017:i:c:p:178-200 is not listed on IDEAS
    2. Martin, Franck & Zhang, Jiangxingyun, 2017. "Modelling European sovereign bond yields with international portfolio effects," Economic Modelling, Elsevier, vol. 64(C), pages 178-200.
    3. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    4. repec:eee:revfin:v:35:y:2017:i:c:p:57-65 is not listed on IDEAS
    5. repec:eee:finsta:v:29:y:2017:i:c:p:72-91 is not listed on IDEAS
    6. repec:eee:ecmode:v:68:y:2018:i:c:p:96-116 is not listed on IDEAS

    More about this item


    Sovereign debt crisis; Euro area; Market Linkages; Vector Autoregression; Variance Decomposition.;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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