In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent … period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index … future BYS, and are related to news announcements and policy changes; (ii) BYS spillovers between Euro zone countries are …

This paper examines whether the Big Three credit rating agencies actually played as active a role in the Euro Crisis as … the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …

This paper analyzes by using a simple theoretical model and thereafter testing empirically the differences between Euro …- and US-Dollar nominated sovereign bonds of euro-area countries during the euro-crisis and concludes that the probability … of collapse of the Euro(-currency) has a significant impact on these differences. Moreover, the empirical analysis …

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area … stress countries during the euro crisis, but we know little about the driver(s) of regimeswitches. Our estimates based on a …

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of … French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 …-2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and …