This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads …

Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond … find, that default risks measured via expected debt-to-GDP ratio explain a good stake of the variation of bond spreads in … rather their evaluation increased but lost relative importance compared to liquidity risks. -- Euro Area ; bond spreads …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …