Fernández-Rodríguez, FernandoGómez-Puig, MartaSosvilla Rivero, Simón Javier2023-06-182023-06-1820151696-6376https://hdl.handle.net/20.500.14352/27501We 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.engtechnical reporthttp://www.aeefi.comopen accessC53E44F36G15Sovereign debt crisisEuro areaMarket LinkagesVector AutoregressionVariance Decomposition.Crisis económicasEconometría (Economía)Economía internacionalFinanzasIntegración económicaMercados bursátiles y financieros5307.06 Fluctuaciones Económicas5302 Econometría5310 Economía Internacional5309.02 Integración Económica