sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A …, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component …This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk … for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper …

substituted for banks in channeling liquidity to EMs. Our results highlight the risk of capital flow reversal in EMs that …