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Volatility spillovers in EMU sovereign bond markets

Author

Listed:
  • 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

    (Department of Quantitative Economics, Universidad Complutense de Madrid)

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.

Suggested Citation

  • Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Volatility spillovers in EMU sovereign bond markets," Working Papers 15-03, Asociación Española de Economía y Finanzas Internacionales.
    • Handle: RePEc:aee:wpaper:1503
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    More about this item

    Keywords

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

    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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