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In this chapter we document fiscal policy developments in the main euro area economies over the last two decades and highlight the dramatic changes triggered by the COVID-19 pandemic. We analyse how euro area yield curves respond to COVID-19 related expectations of fiscal expansion. We show how...
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Using a rich dataset of high frequency historical information from 2004 to 2013 we study the determinants of European sovereign bond returns over calm and crisis periods. We find that the sign of the equity beta crucially depends on country risk. In low risk countries, government bonds represent...
Persistent link: https://www.econbiz.de/10013005819
We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign bond yield spreads. We consider a large sample period covering both the global financial crisis and the European sovereign crisis. Using intraday trade and quote data we construct...
Persistent link: https://www.econbiz.de/10013033116
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