liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market … risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be …