Motivated by the European debt crisis and European Central Bank (ECB) measures to restore sovereign bond market liquidity, I examine the importance of sovereign debt liquidity in a New Keynesian environment with wage rigidities and financial frictions à la Kiyotaki and Moore (2012). The...

We examine the impact of the ECB's QE on Euro Area real GDP and core CPI with a Bayesian VAR, estimated on monthly data from 2012M6 to 2016M4. We assess the total impact via a counter-factual exercise, country-by-country and through alternative transmission channels. QE announcement shocks are...

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such...