We use realized variances and covariances based on intraday data from Eurozone sovereign bond market to measure the … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight … news about third countries to the covariance between other country pairs. Bond purchases by the ECB under its Securities …

) and German government bond returns suggest that banks have been long peripheral sovereign bonds funded in short …-term wholesale markets, a position that generated “carry” until the GIPSI bond returns deteriorated significantly inflicting … taking advantage of a widening of yield spreads in the sovereign bond market. Over time, there is an increase in “home bias …