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Liquidity and credit risk premia in government bond yields

Citations

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Cited by:

  1. Dominique Guegan & Bertrand Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions," Post-Print halshs-00820839, HAL.
  2. J. Boeckx & N. Cordemans & M. Dossche, 2013. "Causes and implications of the low level of the risk-free interest rate," Economic Review, National Bank of Belgium, issue ii, pages 63-88, September.
  3. Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla‐Bourdillon, 2023. "Forecasting sovereign risk in the Euro area via machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 657-684, April.
  4. 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.
  5. Dominique Guegan & Bertrand Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00820839, HAL.
  6. 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.
  7. 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.
  8. Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
  9. Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
  10. Thordur Jonasson & Mr. Michael G. Papaioannou, 2018. "A Primer on Managing Sovereign Debt-Portfolio Risks," IMF Working Papers 2018/074, International Monetary Fund.
  11. Fernandez-Perez, Adrián & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2025. "Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets," The North American Journal of Economics and Finance, Elsevier, vol. 77(C).
  12. 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.
  13. Marcello Pericoli & Marco Taboga, 2022. "Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
  14. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper, 2016. "Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," CEPR Discussion Papers 11122, C.E.P.R. Discussion Papers.
  15. Zaremba, Adam & Kizys, Renatas & Aharon, David Y., 2021. "Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
  16. Adam Zaremba & George Kambouris, 2019. "The sources of momentum in international government bond returns," Applied Economics, Taylor & Francis Journals, vol. 51(8), pages 848-857, February.
  17. Mr. Serkan Arslanalp & Mr. Takahiro Tsuda, 2012. "Tracking Global Demand for Advanced Economy Sovereign Debt," IMF Working Papers 2012/284, International Monetary Fund.
  18. Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
  19. 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.
  20. 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.
  21. Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2014. "The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market," Working Paper Series 1629, European Central Bank.
  22. Juan Ángel García & Ricardo Gimeno, 2014. "Flight-to-liquidity flows in the euro area sovereign debt crisis," Working Papers 1429, Banco de España.
  23. 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.
  24. 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.
  25. Traut, J. & Simonov, A. & Meitner, M., 2022. "Quantifying Alpha of Active Managers: A Case Study on Factor-Based Performance Attribution in Fixed-Income," Research Journal for Applied Management (RJAM), International School of Management (ISM), Dortmund, vol. 3(1), pages 85-115.
  26. Marcello Pericoli & Marco Taboga, 2015. "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers) 1021, Bank of Italy, Economic Research and International Relations Area.
  27. Driessen, Joost & Nijman, Theodore E. & Simon, Zorka, 2022. "A simple approach to estimate long-term interest rates," SAFE Working Paper Series 238, Leibniz Institute for Financial Research SAFE, revised 2022.
  28. Mr. Serkan Arslanalp & Mr. Takahiro Tsuda, 2014. "Tracking Global Demand for Emerging Market Sovereign Debt," IMF Working Papers 2014/039, International Monetary Fund.
  29. Casavecchia, Lorenzo & Loudon, Geoffrey F. & Wu, Eliza, 2018. "What moves benchmark money market rates? Evidence from the BBSW market," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 137-154.
  30. 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.
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