In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

There are competing arguments about the likely effects of Sovereign Bond-Backed Securitization on the liquidity of sovereign bond markets. By analyzing hedging and diversification opportunities, this paper shows that positive liquidity spillovers would dominate or at least constrain the extent...

This paper contributes to the debate concerning the benefits and disadvantages of introducing a European Sovereign Bond-Backed Securitisation (SBBS) to address the need for a common safe asset that would break destabilising bank-sovereign linkages. The analysis focuses on assessing the...