explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

issuers' fundamentals, nor by an increase in illiquidity, risk aversion, or excess supply of debt. In contrast, there is no …

I study how asset prices vary with the risk exposures of heterogeneous financial intermediaries in the municipal bond … market. Banks with local bank-branches, as marginal investors, price their interest rate risk exposure into offering yield … spreads of bank-qualified bonds. The pricing of interest rate risk exhibits strong intertemporal heterogeneity, varying with …

issuances and default risk. Empirically, the paper exploits monthly changes in the composition of a major bond index to identify … commitment device that reduces default risk …