Financial intermediaries issue the majority of liquid securities, and nonfinancial firms have become net savers, holding intermediaries' debt as cash. This paper shows that intermediaries' liquidity creation stimulates growth -- firms hold their debt for unhedgeable investment needs -- but also...

Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...

This paper provides a study of bond yield differentials among EU government bonds on the basis of a unique data set of issue spreads in the US and DM (Euro) bond market between 1993 and 2009. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premiums...

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...

Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...

This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the expected inflation, even in a frictionless...

This paper attempts to evaluate the impact of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the three...

In the aftermath of the crisis, sovereign risk premium differentials have been increasingly widening. Although the perceived risk for core countries remains relatively low, financial markets seem to discriminate among peripheral economies requiring higher risk premia than what is justified by...

This paper gauges the scope for market discipline and the effectiveness of the regional surveillance framework in the West African Economic and Monetary Union (WAEMU). The paper finds that the responsiveness of sovereign bond rates to governments' fiscal behavior in the regional financial market...

This paper attempts to evaluate the effects of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the...