Volatility‐Spillover Effects in European Bond Markets
用GARCH模型分析美国和欧洲整体债券市场对单个欧洲国家债券市场的波动溢出效应，发现欧元区国家受欧洲溢出影响强于美国，且欧元引入后市场一体化程度接近完美。
Abstract Volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility‐spillover model is analysed. Strong statistical evidence of volatility spillover from the US and aggregate European bond markets is found. For EMU countries, the US volatility‐spillover effects are rather weak (in economic terms) whereas the European volatility‐spillover effects are strong. The bond markets of EMU countries have become much more integrated after the introduction of the euro, and in recent years they have become close to being perfectly integrated. The main driver of the integration appears to be convergence in interest rates.