This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same … verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship … market moves ahead of the bond market in terms of price discovery. These findings are further supported by the Granger …

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

We develop a theory of information spillovers in sovereign bond markets in which investors can acquire information … primary and secondary market yields, market segmentation, and measures of information acquisition during the Eurozone …

pressure to currency forward markets and results in violations of the covered interest rate parity. Using trading data and bank …

The European Central Bank is unique in setting monetary policy for several sovereign states with heterogeneous debt … on one particular aspect of that nexus, the effect the reliability of the European Central Bank's monetary policy on … Euro Area countries. For comparison we also estimate the fiscal consequences of the Federal Reserve and the Bank of England …

portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify …

, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event … rates to understand the channels through which policies reduced sovereign bond yields. On average across Italy, Spain and …

We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns … load positively on peripheral (Greece, Ireland, Portugal, Spain and Italy, or GIPSI) bond returns and negatively on German … government bond returns, a position that generated "carry" until the deteriorating GIPSI bond returns inflicted losses on banks …