This paper studies the relationship between sovereign spreads and the interaction between debt composition and debt … correlation between spreads and debt levels. This correlation, however, is not statistically significant in countries where most … spreads is about one fifth of the corresponding correlation for emerging market economies. In Eurozone countries, however, the …

incompatible with the observation that risk spreads on peripheral bonds fell when QE in the euro area was announced. However, the … government bonds, which were clearly not riskless. Moreover, these purchases were undertaken by national central banks at their … bank of the bonds of their own sovereign should increase the risk for the remaining private bond holders. This might seem …

. This might seem incompatible with the observation that risk spreads on peripheral bonds fell when the Euro area's QE was … Quantitative Easing (QE) because the ECB's (Public Sector Purchase Program) PSPP program involved the purchase of the bonds of … bonds of the own sovereign by the national central bank should increase the risk for the remaining private bond holders …

leads to the occasional sharp increases in interest spreads and the counter-cyclical, positively skewed equity issuance that …

explain the significant spread compression at the end of 2006. To determine whether ratings matter for spreads, the paper … risk aversion have become less important for emerging market spreads and that the effect of sub-prime news is less than the … effect of 'average news' on emerging economy credit default swap (CDS) spreads. …

spreads are both noisy signals of fundamentals and suggest ratings add value if, controlling for spreads, they help explain …

leads to the occasional sharp increases in interest spreads and the counter-cyclical, positively skewed equity issuance that …

between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond … characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and …

between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply … interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime … a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual …

This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor … that could drive spreads and credit default swaps (CDSs) of euro-area sovereign debts. The results show that liquidity …, credit risk, and flight to quality drive both spreads and CDSs of five years' maturity over swaps for Greece and Ireland in …