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.

使用来自MTS交易平台的高频数据，我们研究了在平静和危机时期欧洲主权债券市场不同到期日的收益率和波动率溢出效应。核心国家的长期基准证券是最大的净波动性传递者，而外围国家的短期基准是波动性冲击的主要净接收者。此外，这两个区域的收益率曲线的短端和长端都是收益溢出的唯一净接受者。我们注意到，在重要的宏观经济事件（例如信用评级下调和对陷入财务困境的国家的金融援助一揽子计划）期间，外围国家的债券成为波动率溢出的传递者。