This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and their interdependencies in the eurozone government bond market. In particular, we examine the impact across different countries and across different maturity buckets within...

Contagion is an elusive concept and several definitions have been used in the literature. According to Forbes and Rigobon (2002) contagion is defined as a significant increase in cross-market linkages after a shock to one country. In this paper we provide a selective literature review on...

This commentary examines the slope of the sovereign bond yield curve before and during the Covid-19 pandemic. The yield curve as a sentiment indicator on the future growth prospects of the euro area is upward sloping, indicating that borrowing money long-term is more expensive than short-term...