摘要：The announcement made by the Fed Chairman, Ben Bernanke, on May 22, 2013 regarding the
reduction of the quantitative easing programme that took by storm the financial markets determined
the significant volatility increase of the US markets and it was not limited to it. The financial markets
in the emerging countries that benefited from an increase in their financial flows during the
quantitative easing programme were the most affected by this announcement through the volatility
increase, depreciation of exchange rate and massive capital outflows. The current paper tackles
volatility and volatility transmission from the US market determined by the change of monetary policy
to the Eastern European markets. To study the volatility of each stock and bond market of the
countries in Eastern Europe, we used univariate heteroscedastic models while for the analysis of
volatility transmission from the US market to the Eastern European markets we used the multivariate
heteroscedastic models. The results obtained confirm the volatility transmission both on the stock
markets, with the exception of Latvia and Lithuania, and on the bond markets in Eastern Europe.
关键词：stock market; bond markets; return spillover; volatility spillover; multivariate
heteroscedastic model
