Connectedness structures of sovereign bond markets in Central and Eastern Europe
研究了2008-2020年间中东欧国家与全球及欧洲主权债券市场的波动溢出方向与规模，发现中东欧国家之间联系更紧密，对投资组合管理有启示。
The main goal of this research is to identify the direction and scale of connectedness of selected post-communist countries from Central and Eastern Europe (CEE) and major global and European sovereign bond markets, covering the period 2008–2020, including the COVID-19 pandemic. We verify the volatility spillovers in bond markets via directional method and dynamic conditional interconnectedness modelling perspectives. Unexpectedly, we discovered that CEE countries are more interlinked with each other than with global markets. Therefore, our results suggest that it is useful to look separately at advanced and developing bond markets in European countries, as it has a significant implication for bond's portfolio management.