This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare …

framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

We study correlations between the risk-free rate and sovereign yields of ten euro area countries using smooth …

The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of … and Eurozone risk) on Government bond returns, in the two groups of countries (EMU and non-EMU) in EU-15. Our empirical … evidence suggests that the impact of the introduction of the euro on the degree of integration of European Government bond …

We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level …. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual … that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted …

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we … euro area countries. In our empirical results the estimated LGDs perceived by financial markets stay comfortably below 40 …