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 …

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 euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …

during the euro area debt crisis. We find that after the crisis started, firms in stressed countries were more likely to be …

We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the …