bond markets during 2010-11. Identification is non-trivial and based on time series panel data regression on predetermined … impact at the five year maturity per e1 bn of bond purchases of approximately -1 to -2 bps (Italy), -3 bps (Ireland), -4 to … debt market. Bond yield volatility is lower on intervention days for most SMP countries, due to less extreme movements …

-2019 on the European government bond yields.It adopts a novel econometric approach that combines a data-rich factor analysis …

bonds of the own sovereign by the national central bank should increase the risk for the remaining private bond holders … announced. However, the initial fall in risk premia might have been due to the expectation of the bond being effective in … event studies). Nor did the announcements of bond buying change the stochastics of these premia. One should thus not expect …

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 …

-2016 on the government bond yields of eight European Monetary Union countries and up to eleven different maturities. In …

financial crisis, partly due to regulatory reforms. Using bond-level data from both repo and securities lending markets, this …, i.e. the collateral scarcity premium, proxied by specialness of government bond repos. We find that the cost of …

bank of the bonds of their own sovereign should increase the risk for the remaining private bond holders. This might seem … initial fall in risk premiums may have been due to expectations of the bond purchases proving effective in lowering risk … studies). Nor did the announcements of bond buying change the stochastics of these premiums. There is thus no reason to …

This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from … series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results … show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond …