Liquidity and credit risk premia in government bond yields
Download full text from publisher
References listed on IDEAS
- Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
- Jean-Sébastien Fontaine & René Garcia, 2012. "Bond Liquidity Premia," Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1207-1254.
- Ejsing, Jacob & Lemke, Wolfgang, 2011. "The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009," Economics Letters, Elsevier, vol. 110(1), pages 28-31, January.
- Jan Ericsson & Olivier Renault, 2006. "Liquidity and Credit Risk," Journal of Finance, American Finance Association, vol. 61(5), pages 2219-2250, October.
- Long Chen & David A. Lesmond & Jason Wei, 2007. "Corporate Yield Spreads and Bond Liquidity," Journal of Finance, American Finance Association, vol. 62(1), pages 119-149, February.
- David Bolder & David Stréliski, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Grothe, Magdalena & Lejsgaard Autrup, Søren, 2014. "Economic surprises and inflation expectations: Has anchoring of expectations survived the crisis?," Working Paper Series 1671, European Central Bank.
- Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
- Shin, Dongheon & Kim, Baeho, 2015. "Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 38-61.
- Marcello Pericoli & Marco Taboga, 2015. "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers) 1023, Bank of Italy, Economic Research and International Relations Area.
- Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2018.
"Bid-to-cover and yield changes around public debt auctions in the euro area,"
Journal of Banking & Finance, Elsevier, vol. 87(C), pages 118-134.
- Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," CEPR Discussion Papers 11932, C.E.P.R. Discussion Papers.
- Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," Working Paper Series 2056, European Central Bank.
- Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
- Georgoutsos, Dimitris & Moratis, George, 2017. "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 146-159.
- De Santis, Roberto A. & Stein, Michael, 2014. "Financial indicators signalling correlation changes in sovereign bond markets," Working Paper Series 1746, European Central Bank.
- Zerbib, Olivier David, 2019. "The effect of pro-environmental preferences on bond prices: Evidence from green bonds," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 39-60.
- Demir Bektić & Britta Hachenberg & Dirk Schiereck, 2020. "Factor-based investing in government bond markets: a survey of the current state of research," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 94-105, March.
- De Santis, Roberto A. & Stein, Michael, 2015. "Financial indicators signaling correlation changes in sovereign bond markets," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 86-102.
- Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
- Thordur Jonasson & Michael G. Papaioannou, 2018. "A Primer on Managing Sovereign Debt-Portfolio Risks," IMF Working Papers 18/74, International Monetary Fund.
- Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2016. "Economic policy uncertainty and risk spillovers in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 24-45.
More about this item
Keywordsbond markets; liquidity premium; sovereign credit risk; state space models; yield curve modeling;
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2012-07-08 (Central Banking)
- NEP-EEC-2012-07-08 (European Economics)
- NEP-FMK-2012-07-08 (Financial Markets)
- NEP-UPT-2012-07-08 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:20121440. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Official Publications). General contact details of provider: http://edirc.repec.org/data/emieude.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.