Volatility-Spillover E ffects in European Bond Markets

We analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We find strong statistical evidence of volatility-spillover e ffects from both the US and Europe into the individual bond markets.For the EMU countries,the US volatility-spillover effects are rather weak whereas the European volatility-spillover effects are strong.The opposite applies to the non-EMU countries.Pure local volatility e ffects are substantial. The introduction of the euro has strengthened the European volatility-spillover effects for the EMU countries.The non-EMU countries are unaffected hereby.