Connectedness structures of sovereign bond markets in Central and Eastern Europe

The main goal of this research is to identify the direction and scale of connectedness of selected post-communist countries from Central and Eastern Europe (CEE) and major global and European sovereign bond markets, covering the period 2008–2020, including the COVID-19 pandemic. We verify the volatility spillovers in bond markets via directional method and dynamic conditional interconnectedness modelling perspectives. Unexpectedly, we discovered that CEE countries are more interlinked with each other than with global markets. Therefore, our results suggest that it is useful to look separately at advanced and developing bond markets in European countries, as it has a significant implication for bond's portfolio management.