Bond risk premia, macroeconomic factors and financial crisis in the euro area
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References listed on IDEAS
- Ilan Cooper, 2009. "Time-Varying Risk Premiums and the Output Gap," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2601-2633, July.
- Jean-Sébastien Fontaine & René Garcia, 2012. "Bond Liquidity Premia," Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1207-1254.
- Juha Kilponen & Helinä Laakkonen & Jouko Vilmunen, 2015. "Sovereign Risk, European Crisis-Resolution Policies, and Bond Spreads," International Journal of Central Banking, International Journal of Central Banking, vol. 11(2), pages 285-323, March.
- Anna Cieslak & Pavol Povala, 2015. "Expected Returns in Treasury Bonds," Review of Financial Studies, Society for Financial Studies, vol. 28(10), pages 2859-2901.
- Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Distilling the Macroeconomic News Flow," CEPR Discussion Papers 9360, C.E.P.R. Discussion Papers.
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"A macro-financial analysis of the euro area sovereign bond market,"
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More about this item
Keywordsbond risk premium; financial crisis; macro factors; model selection; variable selection;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-08-28 (All new papers)
- NEP-EEC-2016-08-28 (European Economics)
- NEP-FMK-2016-08-28 (Financial Markets)
- NEP-IFN-2016-08-28 (International Finance)
- NEP-MAC-2016-08-28 (Macroeconomics)
- NEP-RMG-2016-08-28 (Risk Management)
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