Abstract
This paper examines the volatility transmission mechanism from the US bond market and the aggregate Euro area bond market to twelve individual European bond markets. A bivariate EGARCH model with a dynamic conditional correlation structure that deals with US effects as exogenous is used. Our results suggest that significant volatility spillovers exist from both the aggregate Euro area bond market and the US bond market to the individual European markets. Moreover, the price and volatility spillovers have increased after the European Monetary Union for most European bond markets.
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