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Banking on bonds : the new links between states and markets

Gabor, Daniela; Ban, Cornel - In: Journal of common market studies : JCMS 54 (2016) 3, pp. 617-635

Persistent link: https://www.econbiz.de/10011503464

New insights on the US OIS spreads term structure during the recent financial turmoil

Morana, Claudio - In: Applied financial economics 24 (2014) 4/6, pp. 291-317

Persistent link: https://www.econbiz.de/10010399449

Measuring connectedness of Euro area sovereign risk

Gätjen, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874

Announcements of ECB unconventional programs : implications for the sovereign spreads of stressed euro area countries

Falagiarda, Matteo; Reitz, Stefan - In: Journal of international money and finance 53 (2015), pp. 276-295

Persistent link: https://www.econbiz.de/10011475970

Integration of government bond market in the euro area and monetary policy

Lukić, Velimir - In: Journal of central banking theory and practice 5 (2016) 1, pp. 71-97

Persistent link: https://www.econbiz.de/10011477399

The euro crisis : where to from here?

Frankel, Jeffrey A. - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 3, pp. 428-444

Persistent link: https://www.econbiz.de/10011478453

Bond Market Micro-Structure During the Euro-Zone Crisis

Sensenbrenner, Frank - 2013

This is a forthcoming study on how euro-zone announcements and bailouts affect fixed income markets. In particular …, this paper examines volumes, levels, and yields of euro-zone bonds around the time when macroeconomic announcements are …

Persistent link: https://www.econbiz.de/10013083352

Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

Baum, Christopher F. - 2013

French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 … bond's yields, although Germany's rating status was never touched by CRA. There is no evidence for Granger causality from …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …

Persistent link: https://www.econbiz.de/10013073134

ECB Policies Involving Government Bond Purchases : Impact and Channels

Krishnamurthy, Arvind - 2017

We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study approach and yields on euro-denominated sovereign bonds,...

Persistent link: https://www.econbiz.de/10012944157

Underpricing in the euro area bond market : New evidence from post-crisis regulation and quantitative easing

Rischen, Tobias; Theissen, Erik - In: Journal of financial intermediation 46 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012818035