2026-06-01T07:50:28Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/275012025-07-03T00:19:22Zcom_20.500.14352_14col_20.500.14352_17
Volatility spillovers in EMU sovereign bond markets
Fernández-Rodríguez, Fernando
Gómez-Puig, Marta
Sosvilla Rivero, Simón Javier
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
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.
European Commission
Depto. de Análisis Económico y Economía Cuantitativa
Fac. de Ciencias Económicas y Empresariales
TRUE
pub
2023-06-18T10:25:18Z
2023-06-18T10:25:18Z
2015
technical report
https://hdl.handle.net/20.500.14352/27501
1696-6376
eng
Working Papers on International Economics and Finance
ECO2011-23189
ECO2013-48326
open access
application/pdf
Asociación Española de Economía y Finanzas Internacionales