sovereign bond yield spreads (relative to Germany) of the 10 EMU countries during the period 01:1999 - 07:2016. Implementing … interest rates together with the longer-term refinancing operations (LTROs) and the first covered bond purchase programme (CBPP …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent …

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

loan rate components, we exploit the co-existence of eurozone-wide security purchase programs and regional fiscal policies …

connectedness measures find distinct and complementary information from CDS and bond yield data on European area sovereign risk. The … detection and use of these second moment di erences of CDS and bond data is new to the literature and allows to identify …

sovereign bond markets and are a source of cross-market spillovers. Using high-frequency data from the inter-dealer market, we … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …