In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …

bond markets during 2010-11. Identification is non-trivial and based on time series panel data regression on predetermined … impact at the five year maturity per e1 bn of bond purchases of approximately -1 to -2 bps (Italy), -3 bps (Ireland), -4 to … debt market. Bond yield volatility is lower on intervention days for most SMP countries, due to less extreme movements …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro … at short-term and long-term bond maturities into a broad measure of sovereign market stress. The statistical framework …