transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as … important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis … news shock, we can show that, during the crisis period, sovereign credit risk was not related to economic fundamentals but …

Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for …

; international capital flows ; risk reduction ; hedging ; speculation ; international financial architecture; Bretton Woods system …

suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk …. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of …

This paper characterizes time variation in the link between macroeconomic risk and variation in the yield curve. Based …