We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …

endogenous credit-risk model generates, along with the default event, a default corridor at the cash-outflow dates, where B>0 is …

market risk, and two typical event study approaches (the mean-adjusted-return approach and the market model approach). For … structural breaks in the data. Our results indicate that the event day return effect is partly justified by the risk and/or the … risk premium on that day …

government's debt risk premium. Finally, liquidity in the Euro area plays a significant role on yields determination. The results …

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors … could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed … systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a … Italian government's credit risk. We also document the importance of market-wide and dealer-specific funding liquidity …