- Adrian, T. ; Brunnermeier, M. CoVaR. 2016 American Economic Review. 106 1705-1741
Paper not yet in RePEc: Add citation now
Adrian, T. ; Shin, H.S. Liquidity and leverage. 2010 Journal of Financial Intermediation. 19 418-437
Alquist, R. How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange. 2010 Journal of International Economics. 82 219-222
Andrada-Félix, J. ; Fernandez-Perez, A. ; Sosvilla-Rivero, S. Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities. 2020 Journal of International Financial Markets, Institutions and Money. 67 -
Antonakakis, N. ; Gabauer, D. Refined measures of dynamic connectedness based on TVP-VAR. 2020 Journal of Risk and Financial Management. 13 84-
Antonakakis, N. ; Gabauer, D. ; Gupta, R. ; Plakandaras, V. Dynamic connectedness of uncertainty across developed economies: A time-varying approach. 2018 Economics Letters. 166 63-75
- Avellaneda, M. and Cont, R. (2010) Transparency in Credit Default Swap Markets, Finance Concepts available at: https://www2.isda.org/attachment/Mjc2Ng==/CDSMarketTransparency.pdf.
Paper not yet in RePEc: Add citation now
- Baele, L. ; Bekaert, G. ; Inghelbrecht, K. ; Wei, M. Flights to safety. 2020 The Review of Financial Studies. 33 689-746
Paper not yet in RePEc: Add citation now
Baele, L. ; Ferrando, A. ; Hördahl, P. ; Krylova, E. ; Monnet, C. Measuring European financial integration. 2004 Oxford Review of Economic Policy. 20 509-530
Beber, A. ; Brandt, M.W. ; Kavajecz, K.A. Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market. 2009 The Review of Financial Studies. 22 925-957
Beirne, J. ; Fratzscher, M. The pricing of sovereign risk and contagion during the European sovereign debt crisis. 2013 Journal of International Money and Finance. 34 60-82
- Bernanke, B. (2009). Financial reform to address systemic risk, Technical report, Speech at the Council on Foreign Relations.
Paper not yet in RePEc: Add citation now
Boumparis, P. ; Milas, C. ; Panagiotidis, T. Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the eurozone. 2017 Journal of International Money and Finance. 79 39-71
- Boyer, B. ; Gibson, M. ; Loretan, M. Pitfalls in tests for changes in correlations. International Finance Discussion Paper 597. 1997 Board of Governors of the Federal Reserve System: Washington, D.C.
Paper not yet in RePEc: Add citation now
Brunnermeier, M. Deciphering the liquidity and credit crunch 2007-08. 2009 Journal of Economic Perspectives. 23 77-100
- Brunnermeier, M. ; Pedersen, L. Predatory trading. 2005 Journal of Finance. 60 1825-1863
Paper not yet in RePEc: Add citation now
Buis, B. ; Pieterse-Bloem, M. ; Verschoor, W.F.C. ; Zwinkels, R.C.J. Expected issuance fees and market liquidity. 2020 Journal of Financial Markets. 48 -
- Bulmer, S. Germany and the Eurozone crisis: Between hegemony and domestic politics. 2014 West European Politics. 37 1244-1263
Paper not yet in RePEc: Add citation now
Caccioli, F. ; Barucca, P. ; Kobayashi, T. Network models of financial systemic risk: A review. 2018 Journal of Computational Social Science. 1 81-114
Cameron, C. ; Gelbach, J. ; Miller, D. Bootstrap-based improvements for inference with clustered errors. 2008 The Review of Economics and Statistics. 90 414-427
Cespa, G. ; Foucault, T. Illiquidity contagion and liquidity crashes. 2014 The Review of Financial Studies. 27 1615-1660
Chen, W. ; Hribar, P. ; Melessa, S. Standard error biases when using generated regressors in accounting research. 2023 Journal of Accounting Research. 61 531-569
Claeys, P. ; Vašíček, B. Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe. 2014 Journal of Banking and Finance. 46 151-165
Codogno, L. ; Favero, C. ; Missale, A. Yield spreads on EMU government bonds. 2003 Economic Policy. 18 503-532
Coluzzi, C. ; Ginebri, S. ; Turco, M. Measuring and analyzing the liquidity of the Italian treasury security wholesale secondary market. 2008 Università degli Studi del Molise: Campobasso
Conrad, C. ; Zumbach, K.U. The effect of political communication on European financial markets during the sovereign debt crisis. 2016 Journal of Empirical Finance. 39 209-214
Corsetti, G. ; Dedola, L. The mystery of the printing press: Monetary policy and self-fulfilling debt crises. 2016 Journal of the European Economic Association. 14 1329-1371
Coutinho, L. ; Salto, M. Scene setter: The value of unity@25. 2024 Quarterly Report on the Euro Area. 23 7-23
Darvas, Z. ; Welslau, L. ; Zettelmeyer, J. The implications of the European Union’s new fiscal rules Policy brief 10/24. 2024 Bruegel: Brussels
De Grauwe, P. The governance of a fragile Eurozone. 2012 Australian Economic Review. 45 255-268
Dekker, A. ; Sen, K. ; Young, M.R. Equity market linkages in the Asia Pacific region: A comparison of the orthogonalised and generalized VAR approaches. 2001 Global Finance Journal. 12 1-33
Diebold, F.X. ; Yilmaz, K. Financial and Macroeconomic Connectedness: An Approach to Measurement and Monitoring. 2015 Oxford University Press: Oxford
Diebold, F.X. ; Yilmaz, K. On the network topology of variance decompositions: Measuring the connectedness of financial firms. 2014 Journal of Econometrics. 182 119-134
Diebold, F.X. ; Yilmaz, K. On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness. 2023 Journal of Econometrics. 234 115-120
Diebold, F.X. ; Yilmaz, K. Trans-Atlantic equity volatility connectedness: U.S. and European financial institutions, 2004–2014. 2016 Journal of Financial Econometrics. 14 81-127
Dubecq, A.M. ; Renne, J.P. ; Roussellet, G. Credit and liquidity in interbank rates: A quadratic approach. 2016 Journal of Banking and Finance. 68 29-46
Dunne, P.G. Positive liquidity spillovers from sovereign bond-backed securities. 2019 Journal of Risk and Financial Management. 12 58-
Ejsing, J. ; Sihvonen, J. Liquidity premia in German government bonds. Working Paper 1081. 2009 European Central Bank: Frankfurt am Main
Ejsing, J., Grothe, M. and Grothe, O. (2012). Liquidity and credit risk premia in government bond yields. Working Paper 1440. European Central Bank, Frankfurt am Main.
- Engel, J. ; Nardo, M. ; Rancan, M. Network Analysis for Economics and Finance: An Application to Firm Ownership. 2021 En : Consoli, S. ; Reforgiato Recupero, D. ; Saisana, M. Data Science for Economics and Finance. Springer: Cham
Paper not yet in RePEc: Add citation now
Ericsson, J. ; Renault, O. Liquidity and credit risk. 2006 Journal of Finance. 61 2219-2250
- European Central Bank, Annual Report 2009. 2010 European Central Bank: Frankfurt am Main
Paper not yet in RePEc: Add citation now
Gabauer, D. ; Gupta, R. On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. 2018 Economics Letters. 171 63-71
García, J. A. and Gimeno, R. (2014). Flight-to-liquidity flows in the euro area sovereign debt crisis. Working Paper 1249. Madrid: Bank of Spain.
Gómez-Puig, M. Monetary integration and the cost of borrowing. 2008 Journal of International Money and Finance. 27 455-479
Gómez-Puig, M. Size matters for liquidity: Evidence from EMU sovereign yield spreads. 2006 Economics Letters. 90 156-162
Gómez-Puig, M. ; Pieterse-Bloem, M. ; Sosvilla-Rivero, S. Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. 2023 Journal of Multinational Financial Management. 68 -
Gómez-Puig, M. ; Sosvilla-Rivero, S. Causality and Contagion in EMU sovereign debt markets. 2014 International Review of Economics and Finance. 33 12-27
Greenwood-Nimmo, M. ; Nguyen, V.H. ; Shin, Y. Measuring the connectedness of the global economy. 2015 International Journal of Forecasting. 37 899-919
Greenwood-Nimmo, M. ; Nguyen, V.H. ; Shin, Y. Risk and return spillovers among the G10 currencies. 2016 Journal of Financial Markets. 31 43-62
Haddou, S. Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. 2024 The North American Journal of Economics and Finance. 71 -
- Jabko, N. The elusive economic government and the forgotten fiscal union. 2015 En : Matthijs, M. ; Blyth, M. The Future of the Euro. Oxford University Press: Oxford
Paper not yet in RePEc: Add citation now
Kalbaska, A. ; Gatkowski, M. Eurozone sovereign contagion: Evidence from the CDS market (2005–2010). 2012 Journal of Economic Behavior and Organization. 83 657-673
Karolyi, G.A. ; Lee, K.H. ; van Dijk, M.A. Understanding commonality in liquidity around the world. 2012 Journal of Financial Economics. 105 82-112
Katsimi, M. ; Moutos, T. EMU and the Greek crisis: The political-economy perspective. 2010 European Journal of Political Economy. 26 568-576
- Kolb, R.W. Financial contagion: The viral threat to the wealth of nations. 2011 John Wiley & Sons: Hoboken
Paper not yet in RePEc: Add citation now
Koop, G. ; Korobilis, D. A new index of financial conditions. 2014 European Economic Review. 71 101-116
Koop, G. ; Pesaran, M.H. ; Potter, S.M. Impulse response analysis in non-linear multivariate models. 1996 Journal of Econometrics. 74 119-147
Leung, H. ; Schiereck, D. ; Schroeder, F. Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. 2017 Economic Modelling. 61 169-180
Longin, F. ; Solnik, B. Extreme correlation of international equity markets. 2001 Journal of Finance. 56 649-676
- Loretan, M. ; English, W.B. Evaluating correlation breakdowns during periods of market volatility. International Finance Discussion Paper 658.. 2000 Board of Governors of the Federal Reserve System: Washington, D. C.
Paper not yet in RePEc: Add citation now
- Martín-Herrero, A. ; Mencía, J. Credit and liquidity risk in sovereign bonds. 2015 Estabilidad Financiera. Banco de España. 28 103-124
Paper not yet in RePEc: Add citation now
Martins, J. Bond yields movement similarities and synchronization in the G7: A time-frequency analysis. 2022 Journal of Business Cycle Research. 18 189-214
McMenamin, I. ; Breen, M. ; Muñoz-Portillo, J. Austerity and credibility in the Eurozone. 2015 European Union Politics. 16 45-66
Merler, S. ; Pisani-Ferry, J. Sudden stops in the euro area. 2012 Review of Economics and Institutions. 3 -
Metiu, N. Sovereign risk contagion in the Eurozone. 2012 Economics Letters. 117 35-38
Mink, M. ; De Haan, J. Contagion during the Greek sovereign debt crisis. 2013 Journal of International Money and Finance. 34 102-113
- Mitchener, K.J. ; Trebesch, C. Sovereign debt in the 21st century. Forthcoming. 2023 Journal of Economic Literature.. -
Paper not yet in RePEc: Add citation now
O’Sullivan, C. ; Papavassiliou, V.G. On the term structure of liquidity in the European sovereign bond market. 2020 Journal of Banking and Finance. 114 -
Paetz, C. ; Watzka, S. The new fiscal rules: Another round of austerity for Europe? IMK Policy Brief 176. 2024 Macroeconomic Policy Institute: Düsseldorf
Pagan, A. Econometric issues in the analysis of regressions with generated regressors. 1984 International Economic Review. 25 221-247
Pagano, M. ; von Thadden, E.-L. The European bond markets under EMU. 2004 Oxford Review of Economic Policy. 20 531-554
- Pelizzon, L. ; Subrahmanyam, M.G. ; Tomio, D. ; Uno, J. Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?. 2016 Journal of Financial Economics. 122 86-115
Paper not yet in RePEc: Add citation now
Pesaran, M.H. ; Shin, Y. Generalized impulse response analysis in linear multivariate models. 1998 Economics Letters. 58 17-29
- Prüser, J. ; Schlösser, A. The effects of economic policy uncertainty on European economies: Evidence from a TVP-FAVAR. 2020 Empirical Economics. 58 2889-2910
Paper not yet in RePEc: Add citation now
- Rajan, R. G. (2009). Too systemic to fail: consequences, causes and potential remedies, Technical report, Written statement to the Senate Banking Committee Hearings.
Paper not yet in RePEc: Add citation now
Schwarz, K. Mind the gap: Disentangling credit and liquidity in risk spreads. 2019 Review of Finance. 23 557-597
Tzika, P. ; Fountas, S. Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis. 2021 The Manchester School. 89 330-352