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 …

hundred bonds from six largest euro area sovereign bond markets. The created variables were used in a cross …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …

between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …

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 … interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime …

in bond markets. Asset purchase policies are not without side effects, though, as the induced scarcity has an adverse …

GARCH framework, which uses Italian long-term bond futures to disentangle expected from unexpected policy actions. We find … that the ECB announcements about unconventional monetary policies substantially reduced Italian long-term government bond …

This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from … series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results … show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

sovereign bond markets and are a source of cross-market spillovers. Using high-frequency data from the inter-dealer market, we … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …

sovereign bond markets and are a source of cross-market spillovers. Using high-frequency data from the inter-dealer market, we … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …