García, Juan Ángel; Gimeno, Ricardo - Banco de España - 2014
sovereign and national agency bonds, we construct indicators of liquidity premia in major euro area bond markets; we document … the weakening of the correlation between core and periphery market liquidity during the euro area sovereign bond crisis …) spells in the period 2009-13. We show that FTL flows led to significant inverse moves in sovereign bond yields in euro area …