Boffelli, Simona; Urga, Giovanni - In: Journal of International Money and Finance 53 (2015) C, pp. 148-173
This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009–05/31/2012, we identify...