This paper documents how sovereign debt ratings shape euro area cross-border holdings of euro area sovereign debt … core euro area countries respond more to credit ratings than investors from peripheral euro area countries. The results …

of the OMT, changes in the Spanish and, to a lesser extent, Italian spread spilled over to many other euro area member … states, and also affected the euro-dollar exchange rate. Peak effects generally materialized after 2-3 days. Since the OMT …

in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the …

impaired sovereign debt was negatively affected after the start of the euro area sovereign debt crisis. We also observe a …

We analyze how global and local factors affect portfolio allocation by euro area investors in emerging markets at the … bond-level. First, cross-sectional analysis reveals a strong preference for home (Euro) currency bonds. Second, panel … holdings in Euro-denominated bonds are less sensitive to global factors, which we interpret as further evidence of a home …

, this increase is not present for non-financials. Third, before the crisis euro appreciations are associated with European …

and Eastern European Countries which have yet to join the euro. It identifies the channels by which the crisis has fed …

rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility … central banks to monitor the volatility of the rate and the impact of changes in the policy for the whole euro area …