In this paper we try to uncover the determinants of the 10-year Greek bond yield in both pre- and post-crisis period … more significant role as determinants of the 10-year Greek bond yield during the crisis than had before and second, during … speculation on the yield. These results are in line with other empirical studies and shed line to the motion of bond yield in an …

Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH …, the rescue of Bear Stearns in March 2008 seems to mark a change in market perceptions of sovereign bond risk. The …

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH …, the rescue of Bear Stearns in March 2008 seems to mark a change in market perceptions of sovereign bond risk. The …

This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before … and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the …

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables …

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …