Fernández Rodríguez, FernandoGómez Puig, MartaSosvilla Rivero, Simón Javier2023-06-192023-06-192015https://hdl.handle.net/20.500.14352/41683We 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.engAtribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/technical reporthttps://www.ucm.es/icei/working-papersopen accessC53E44F36G15Sovereign debt crisisEuro areaMarket LinkagesVector AutoregressionVariance DecompositionCrisis económicasEconometría (Economía)Economía internacionalFinanzasIntegración económicaMercados bursátiles y financieros5307.06 Fluctuaciones Económicas5302 Econometría5310 Economía Internacional5309.02 Integración Económica