In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS … developed methodology to data on major Eurozone sovereign borrowers and consider the most recent period of the Eurozone debt … interesting interaction effects between those components in terms of term structure. Treating the bond-CDS basis as a measure of …

, 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 …

between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond … residual redenomination risk. We also find that unconventional monetary policy measures affect the pricing of sovereign risk … not only directly, but also indirectly through changes in banking risk. …

interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime … between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply … bond markets in the euro area over the period January 1999 to July 2016. Second, we estimate the impact of ECB policy …

The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil … maturity spectrum in both calm and crisis periods. Liquidity is priced both as a characteristic and as a risk factor even when … controlling for credit risk, pointing to liquidity's systematic dimension and importance …

cross-section of eight euro area government bond yield curves since January 1999. The existence of a common monetary policy … expected default probabilities and thereby spreads towards Germany, assumed to be free of default risk. The pricing factors are … through both heightened compensations for default risk and increases in risk premia. We also present perceived probabilities …

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the …