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Citations for "How Does Liquidity Affect Government Bond Yields?"

by Favero, Carlo & Pagano, Marco & von Thadden, Ernst-Ludwig

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  1. António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012. "The determinants of sovereign bond yield spreads in the EMU," Working Papers 2012_14, Business School - Economics, University of Glasgow.
  2. Portes, Richard & Fouquau, Julien & Delatte, Anne-Laure, 2014. "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract," Economics Papers from University Paris Dauphine 123456789/13143, Paris Dauphine University.
  3. Calice, Giovanni & Miao, RongHui & Štěrba, Filip & Vašíček, Bořek, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
  4. Luciana Barbosa & Sónia Costa, 2010. "Determinants of sovereign bond yield spreads in the euro area in," Working Papers w201022, Banco de Portugal, Economics and Research Department.
  5. Iuliana Matei & Angela Cheptea, 2012. "Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00845660, HAL.
  6. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
  7. Cantero-Saiz, Maria & Sanfilippo-Azofra, Sergio & Torre-Olmo, Begoña & López-Gutiérrez, Carlos, 2014. "Sovereign risk and the bank lending channel in Europe," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 1-20.
  8. 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.
  9. António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers 2013_05, Business School - Economics, University of Glasgow.
  10. Arru, Daniela & Iacovoni, Davide & Monteforte, Libero & Pericoli, Filippo Maria, 2012. "EMU sovereign spreads and macroeconomic news," MPRA Paper 37200, University Library of Munich, Germany.
  11. Philippas, Dionisis & Siriopoulos, Costas, 2013. "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 161-176.
  12. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2014. "The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market," CEPR Discussion Papers 9803, C.E.P.R. Discussion Papers.
  13. Christian Aßmann & Jens Boysen-Hogrefe, 2012. "Determinants of government bond spreads in the euro area: in good times as in bad," Empirica, Springer, vol. 39(3), pages 341-356, August.
  14. Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2013. "Spread the news: The impact of news on the European sovereign bond markets during the crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 83-101.
  15. Pilar Abad & Helena Chuliá, 2013. "“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”," IREA Working Papers 201325, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
  16. Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2012. "Leading indicators of crisis incidence: evidence from developed countries," Working Paper Series 1486, European Central Bank.
  17. Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013. "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 102-120.
  18. Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013. "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2392-2407.
  19. D’Agostino, Antonello & Ehrmann, Michael, 2014. "The pricing of G7 sovereign bond spreads – The times, they are a-changin," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 155-176.
  20. Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Filippo Presbitero, 2012. "External imbalances and financial fragility in the euro area," Mo.Fi.R. Working Papers 66, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
  21. Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers 345, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  22. Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers 115, Bank of Greece.
  23. Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2013. "Tweets, Google trends and sovereign spreads in the GIIPS," LSE Research Online Documents on Economics 54405, London School of Economics and Political Science, LSE Library.
  24. Bernoth, Kerstin & Erdogan, Burcu, 2012. "Sovereign bond yield spreads: A time-varying coefficient approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 639-656.
  25. Schulz, Alexander & Wolff, Guntram B., 2009. "Sovereign bond market integration: the euro, trading platforms and financial crises," MPRA Paper 16900, University Library of Munich, Germany.
  26. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
  27. Arce, Oscar & Mayordomo, Sergio & Peña, Juan Ignacio, 2013. "Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 124-145.
  28. Vu, Huong & Alsakka, Rasha & Gwilym, Owain ap, 2015. "The credit signals that matter most for sovereign bond spreads with split rating," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 174-191.
  29. Ebner, André, 2009. "An empirical analysis on the determinants of CEE government bond spreads," Emerging Markets Review, Elsevier, vol. 10(2), pages 97-121, June.
  30. Ejsing, Jacob & Lemke, Wolfgang, 2009. "The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09," Working Paper Series 1127, European Central Bank.
  31. Kumar, Manmohan S. & Okimoto, Tatsuyoshi, 2011. "Dynamics of international integration of government securities' markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 142-154, January.
  32. António Afonso & Ana Catarina Ramos Félix, 2014. "Contagion in EU Sovereign Yield Spreads," Working Papers Department of Economics 2014/04, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  33. Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: A time-varying coefficient approach," Dresden Discussion Paper Series in Economics 02/13, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  34. Claeys, Peter & Moreno, Rosina & Suriñach, Jordi, 2012. "Debt, interest rates, and integration of financial markets," Economic Modelling, Elsevier, vol. 29(1), pages 48-59.
  35. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
  36. Pozzi, Lorenzo & Wolswijk, Guido, 2012. "The time-varying integration of euro area government bond markets," European Economic Review, Elsevier, vol. 56(1), pages 36-53.
  37. Alexander Ludwig, 2014. "Credit risk-free sovereign bonds under Solvency II: a cointegration analysis with consistently estimated structural breaks," Applied Financial Economics, Taylor & Francis Journals, vol. 24(12), pages 811-823, June.
  38. Georgoutsos, Dimitris A. & Migiakis, Petros M., 2013. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4650-4664.
  39. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  40. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 278-304.
  41. Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012. "Sovereign risk premiums in the European government bond market," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 975-995.
  42. Ludwig, Alexander, 2014. "A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 125-146.
  43. Tim Oliver Berg & Kai Carstensen & Hans-Werner Sinn, 2011. "Was kosten Eurobonds?," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 64(17), pages 25-33, 09.
  44. Panagiotis Petrakis & Emmanuel Papadakis & Nikoleta Daniilopoulou, 2012. "Public Statements on Sovereign Yield Spreads:The Greek Case," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(2), pages 5-16, December.
  45. Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013. "Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals," CEPR Discussion Papers 9538, C.E.P.R. Discussion Papers.
  46. Favero, Carlo A., 2013. "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, vol. 177(2), pages 343-356.
  47. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2012. "Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets," CEPR Discussion Papers 9043, C.E.P.R. Discussion Papers.
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