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| Author: | Christiansen, C. |
| Title: | Volatility-spillover effects in European bond markets |
| Journal: | European Financial Management
2007 : NOV, VOL. 13:5, p. 923-948 |
| Index terms: | bond markets government bonds volatility Europe USA |
| Freeterms: | spillover |
| Language: | eng |
| Abstract: | Using a GARCH volatility-spillover (hereafter as: vol.-spl.) model, this paper analyzes vol.-spl. from the U.S. and aggregate European bond markets (here as: E. b-m.) into individual E. b-m. There is found strong statistical evidence of vol.-spl. from the U.S. and aggregate E. b-m. For EMU countries, the U.S. vol.-spl. effects are rather weak in economic terms while the E. vol.-spl. effects are strong. The EMU countries' b-m. have got much more integrated after the introduction of the euro, and in recent years they have become close to perfect integration, the convergence in interest rates as the main driver. |
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