We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the tenðyear government bands of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...

We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten­year government bands of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...