We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market … participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across …

This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous …

these, together with new information, to develop estimates of stocks of government obligations in default, including bonds …

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It … spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for … identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a …