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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Hofer, Heiko; Riordan, Ryan; … - 2017
Persistent link: https://www.econbiz.de/10011752683
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …
Persistent link: https://www.econbiz.de/10011632212
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The term structure of sovereign default risk in EMU member countries and its determinants
Eichler, Stefanie; Maltritz, Dominik - In: Journal of banking & finance 37 (2013) 6, pp. 1810-1816
Persistent link: https://www.econbiz.de/10009741917
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The asymmetric response of sovereign credit default swaps spreads to risk aversion, investor sentiment and monetary policy shocks
M'beirick, Abdallahi; Haddou, Samira - In: International review of economics & finance : IREF 93 (2024) 2, pp. 244-272
Persistent link: https://www.econbiz.de/10014535547
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The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 29-57
Persistent link: https://www.econbiz.de/10010344557
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Interactions of unconventional monetary policy measures with the euro area yield curve
Gertler, Ľubomíra - In: Finance a úvěr 65 (2015) 2, pp. 106-126
Persistent link: https://www.econbiz.de/10010501900
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Government default, bonds, and bank lending around the world : what do the data say?
Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano - 2016
Persistent link: https://www.econbiz.de/10011606947
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Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market
Clancy, Daragh - 2019
The likelihood of severe contractions in an asset's liquidity can feed back to the ex ante risks faced by the … individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …
Persistent link: https://www.econbiz.de/10012860725
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Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market
Clancy, Daragh - 2020
The likelihood of severe contractions in an asset's liquidity can feed back to the ex-ante risks faced by the … individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …
Persistent link: https://www.econbiz.de/10012846785
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Liquidity and tail-risk interdependencies in the euro area sovereign bond market
Clancy, Daragh; Dunne, Peter G.; Filiani, Pasquale - 2019
Persistent link: https://www.econbiz.de/10012194772