This paper examines the extent to which large swings of sovereign yields in euro area countries during the sovereign debt crisis can be attributed to fundamentals. We focus on the inherent uncertainty in bond yield models, which is often overlooked in the literature. We show that the outcomes...

This paper documents how sovereign debt ratings shape euro area cross-border holdings of euro area sovereign debt, using granular sectoral security holdings statistics for the period 2009Q4 until 2016Q1. Credit risk is the main risk for bond investors when investing in bonds that are issued in...

We examine the effect of the European Central Bank’s Quantitative Easing (QE) on sovereign bond spreads of crisis-prone EMU countries. Outcomes of panel regression models show that QE lowered the effect of volatility on sovereign bond spreads by one to two percentage points. Asset purchase...