Market participants have argued that a significant unintended consequence of post-crisis regulatory leverage ratio requirements has been a reduction in the liquidity of fixed income markets. We assess this claim in the context of the gilt (UK government bond) and gilt repo markets. We find that...

This paper investigates banking and sovereign distress in the Eurozone and the importance of direct and indirect financial exposures. We use BIS cross-border banking claims to link member states in a GVAR framework and jointly model sectoral CDS premia. Based on balance sheet positions of an...

This paper investigates the comovement of long-term government bond yields in the Eurozone. Themethods used for identifying common trends and common cycles are cointegration and SCCF (serialcorrelation common feature). These low and high frequency comovement analyses based on asymptoticcritical...

This paper investigates banking and sovereign distress in the Eurozone and the importance ofdirect and indirect financial exposures. We use BIS cross-border direct banking flows to linkmember states in a GVAR framework and jointly model sectoral CDS premia. Based on balance sheetpositions of an...