We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non … estimate (by means of panel techniques) the determinants of sovereign bond yield spreads; ii) compute bivariate time …-varying coefficient (TVC) models of each determinant on government bond spreads and analyse the temporal dynamics of resulting estimates …

timed the bond market by shifting their issuance toward bonds eligible for the program. However, issuers of eligible bonds … bond market and in the default swap market, whereas the valuation of eligible bonds did not change relative to comparable … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …