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 …

This paper develops a model to interpret the 2012 eurozone crisis and the ECB's policy response. In the model, bank …

The euro-area sovereign debt crisis was characterized by feedback loops between (1) sovereign bond ratings and … circumstance is that the ECB was unable to perform the role of lender of last resort in the sovereign bond markets during the …. Our results are consistent with the view that the absence of a central bank backstop in the sovereign bond markets …

This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group … yields of long-term government bonds in a set of 11 eurozone countries. Furthermore, autoregressive distributive lag (ARDL …

bond returns in the French bond market. We investigate three possible types of supply shocks: related to the cumulative …% of a bond outstanding correlates with a decrease in yield of about -13 bps to -26 bps on average in the first year of …. We then focus on the European bond sell-off period during the spring-summer 2015, and show it was associated with a …

This paper examines the impact of Quantitative Easing (QE) in the Eurosystem on government bond yields and to what … extent QE is causing government bond prices to deviate from their fundamental determinants. We apply a novel recursive … that government bond markets experienced exuberant price behavior in Euro Area countries following the announcement and …

bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions … understand our empirical results. The theory implies that bond liquidity premia fall in response to both official purchases and …

We conduct the most extensive study of underpricing in the euro area bond market so far and find strong evidence of … crisis and has remained at an elevated level since. We also show that secondary market liquidity in the euro area bond market …

-frequency data on purchases of the ECB Securities Markets Programme and sovereign bond quotes to address the simultaneity and …