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http://hdl.handle.net/10553/15483
| Título: | Volatility spillovers in EMU sovereign bond markets | Autores/as: | Fernández-Rodríguez, Fernando Gómez Puig, Marta Sosvilla Rivero, Simón |
Clasificación UNESCO: | 53 Ciencias económicas | Palabras clave: | Sovereign debt crisis Euro area Market linkages Vector autoregression Variance decomposition |
Fecha de publicación: | 2015 | Publicación seriada: | International Review of Economics and Finance | Resumen: | 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 | URI: | http://hdl.handle.net/10553/15483 | ISSN: | 1059-0560 | DOI: | 10.1016/j.iref.2015.07.001 | Fuente: | International Review of Economics and Finance[ISSN 1059-0560],v. 39, p. 337-352 |
| Colección: | Artículos |
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