We study how the Indian government bond market functions, how it has changed over time, and what factors help explain some of its features. Looking at the primary market, we describe how underwriting obligations are allocated to primary dealers via auction and identify several significant...

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By calibrating an arbitrage-free reduced form model to the cash- and derivatives markets of each member state, we disentangle credit and market liquidity spread components in government...

This study investigates the contemporary role of banks' treasuries and shows how the trea-sury function is being transformed across the banking sector. Using a sample of internationalsurveys of banks representing both emerging and advanced markets (with 35% of banks rep-resenting the...

This paper examines key determinants of the distance between the sovereign's credit rating and the ratings of sub-sovereign foreign currency bonds, such as bond issuers' type, debt characteristics, and global and country's economic conditions. Using a comprehensive international bond-level...

We estimate the impact of the ECB's announcement of the extended asset purchase programme (EAPP) on 22 January 2015 on global equity prices, bond yields and the euro exchange rate. We find that the EAPP announcement benefited global financial markets by boosting equity prices in the euro area...

From 2004 to 2015, the market perception of the sovereign risks of the Euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...

The Warsaw Stock Exchange is one of Europe's largest exchanges by the number of IPOs, although it retains features of a market in post-transition countries, including a relatively small size, shallowness and a weak institutional framework. In this study, we use a large dataset to explore firms'...

This study investigates herding behaviour exhibited by Dutch pension funds in the sovereign bond market. It uses a unique dataset on sovereign bond holdings of pension funds, mutations and transactions between December 2008 and December 2014. It covers 67 large Dutch pension funds that invest in...

This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...

A growing literature argues that slower output growth is one of the main contributing factors to the fall in the natural rate of interest. Consistent with this evidence, we show empirically that real GDP growth is a major driver of the nominal yield curve. Specifically, the rate of economic...