RT Report
T1 Volatility in EMU sovereign bond yields: permanent and transitory components
A1 Sosvilla Rivero, Simón Javier
A1 Morales Zumaquero, Amalia
AB This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and Monetary Union (EMU). To that end, we examine the behaviour for daily yields for 11 EMU countries (EMU-11), during the 2001-2010 period. In a first step, we decompose volatility in permanent and transitory components using Engel and Lee (1999)´s component-GARCH model. Results suggest that transitory shifts in debt market sentiment tend to be less important determinants of bond-yield volatility than shocks to the underlying fundamentals. In a second step, we develop a correlation and causality analysis that indicates the existence of two different groups of countries closed linked: core EMU countries and peripheral EMU countries. Finally, in a third step, we make a cluster analysis that further supports our results regarding the existence of two different groups of countries, with different positions regarding the stability of public finance.
PB Instituto Complutense de Estudios Internacionales
YR 2011
FD 2011
LK https://hdl.handle.net/20.500.14352/49014
UL https://hdl.handle.net/20.500.14352/49014
LA eng
DS Docta Complutense
RD 15 dic 2025