A high-frequency analysis of return and volatility spillovers in the European sovereign bond market
利用MTS交易平台的高频数据，研究了欧洲主权债券市场在平静期和危机期不同期限间的收益率与波动溢出效应，发现核心国家长期基准证券是最大净波动传递者，而外围国家短期基准证券是主要波动接收者。
Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in the European sovereign bond market over tranquil and crisis periods. The longer-term benchmark securities of core countries are the largest net volatility transmitters, whereas the shorter-term benchmarks of periphery countries are the leading net receivers of volatility shocks. Moreover, the short-end and the long-end of the yield curve in both regions emerge as the sole net recipients of return spillovers. We note that bonds of periphery countries become volatility spillover transmitters during important macroeconomic events such as credit rating downgrades and financial assistance packages to financially distressed countries.