Template-type: ReDIF-Paper 1.0  
Author-Name: Fernando Fernández-Rodríguez
Author-Email: fernando.fernandez@ulpgc.es
Author-Workplace-Name: Department of Quantitative Methods in Economics, Universidad de Las Palmas de Gran Canaria.
Author-Name:  Marta Gómez-Puig
Author-Email: marta.gomezpuig@ub.edu
Author-Workplace-Name: Department of Economic Theory, Universitat de Barcelona.
Author-Name: Simón Sosvilla-Rivero
Author-Email: sosvilla@ccee.ucm.es
Author-Workplace-Name: Complutense Institute of International Studies, Universidad Complutense de Madrid.
Title: Volatility spillovers in EMU sovereign bond markets
Abstract: 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.
Classification-JEL:
 C53, E44, F36, G15
Keywords: Sovereign debt crisis; Euro area; Market Linkages; Vector Autoregression; Variance Decomposition.
Creation-Date: 2015
Length: 34 pages
Number: 1504
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/wpaper04-15.txt
File-URL: https://eprints.ucm.es/id/eprint/38218/1/WP04-15.pdf
File-Format: Application/pdf
File-Function: Full text
Handle: RePEc:ucm:wpaper:1504