منابع مشابه
Credit and Liquidity Risk in Sovereign Bonds
This master thesis, builds on the contributions by Ejsing et al. (2012) and Dubecq et al. (2013) to shed light on the credit and liquidity risk components of sovereign bond yields. Four countries have been studied: France, the Netherlands, Germany and Spain. The task has been faced by considering several state-space models, all of them connected by the idea that the differences in the yields be...
متن کاملSovereign credit risk , liquidity , and ECB intervention :
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer market for Italian government bonds, we show that changes in credit risk, as measured by the Italian so...
متن کاملSpillover in Euro Area Sovereign Bond Markets *
This paper applies the Diebold and Yilmaz (2009, 2012) spillover methodology to euro area sovereign bond markets. Our analysis identifies different phases of interaction in those markets in recent years. We find a substantial increase in spillover between euro area sovereign bond markets coinciding with the bailout of Bear Stearns in March 2008. The phase of the euro area crisis from the first ...
متن کاملThe Liquidity Effect in the Euro Area
This paper presents an analysis of the liquidity effect in the euro area – the link between the availability of aggregate liquidity and the interbank overnight rate. Applying a set of assumptions which also lead to the “martingale property” of the overnight rate, a model linking the latter to the expected aggregate liquidity conditions is formulated and calibrated. Different assumptions for how...
متن کاملConvergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area
This study examines the convergence patterns of Euro Area (EA) 17 countries’ sovereign bond yield spreads (relative to German bund) over the period of March 2002 to December 2015, by employing the convergence algorithm developed by Phillips and Sul (2007). The empirical findings suggest rejection of full convergence across the EA17 countries’ bond yields spreads, and the presence of a certain n...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1966041