Volatility spillovers in EMU sovereign bond markets
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 volatili...
| Autores: | , , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2015 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/27501 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/27501 |
| Access Level: | acceso abierto |
| Palabra clave: | C53 E44 F36 G15 Sovereign debt crisis Euro area Market Linkages Vector Autoregression Variance Decomposition. Crisis económicas Econometría (Economía) Economía internacional Finanzas Integración económica Mercados bursátiles y financieros 5307.06 Fluctuaciones Económicas 5302 Econometría 5310 Economía Internacional 5309.02 Integración Económica |
| Sumario: | 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. |
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