Applying a t-DCC-GARCH model to daily spread data, four phases of interaction in euro area sovereign bond markets are identified between January 2008 and June 2013. The initial period (January-October 2008) is followed by a general rise in pairwise correlation values between November 2008 and...

The Italian sovereign bond market experienced considerable disruption in May 2018 and subsequent months amid concerns about the fi scal implications of political developments in Italy. This episode is used to examine relationships among the euro area bond markets some six years after the euro...