Aït-Sahalia, Y. ; Andritzky, J. ; Jobst, A. ; Nowak, S. ; Tamirisa, N. Market response to policy initiatives during the global financial crisis. 2012 J. Int. Econ.. 87 162-177
Acharya, V. ; Drechsler, I. ; Schnabl, P. A pyrrhic victory? Bank bailouts and sovereign credit risk. 2014 J. Fin.. 69 2689-2739
Albanesi, S. ; Rindi, B. The quality of the Italian treasury bond market, asymmetric information and transaction costs. 2000 Annal. D'economie Stat.. 60 1-19
Almeida, H. ; Cunha, I. ; Ferreira, M.A. ; Restrepo, F. The real effects of credit ratings: the sovereign ceiling channel. 2017 J. Fin.. -
Alter, A. ; Beyer, A. The dynamics of spillover effects during the European sovereign debt turmoil. 2014 J. Bank. Fin.. 42 134-153
- Baele, L., Bekaert, G., Inghelbrecht, K., Wei, M., 2015. “Flights to Safety†National Bank of Belgium Working Paper No. 230.
Paper not yet in RePEc: Add citation now
Beber, A. ; Brandt, M.W. ; Kavajecz, K.A. Flight-to-quality or flight-to-liquidity? Evidence from the Euro-area bond market. 2009 Rev. Fin. Stud.. 22 925-957
Beirne, J., Dalitz, L., Ejsing, J., Grothe, M., Manganelli, S., Monar, F., Sahel, B., Susec, M., Tapking, J., Vong, T., 2011. The Impact of the Eurosystem’s Covered Bond Purchase Programme on the Primary and Secondary Markets. ECB Occasional Paper No. 122.
Blanco, R. ; Brennan, S. ; Marsh, I.W. An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps. 2005 J. Fin.. 60 2255-2281
Blume, M.E. ; Keim, D.B. ; Patel, S.A. Returns and volatility of low-grade bonds 1977–1989. 1991 J. Fin.. 46 49-74
Bongaerts, D. ; de Jong, F. ; Driessen, J. Derivative pricing with liquidity risk: theory and evidence from the credit default swap market. 2011 J. Fin.. 66 203-240
Burkhardt, D., Hasseltoft, H., 2012. Understanding asset correlations. Swiss Finance Institute Research Paper No. 12-38.
- Cameron, A.C. ; Trivedi, P.K. Microeconometrics: Methods and Applications. 2005 Cambridge University Press:
Paper not yet in RePEc: Add citation now
Campbell, J.Y. ; Sunderam, A. ; Viceira, L.M. Inflation bets or deflation hedges? The changing risks of nominal bonds. 2017 Crit. Fin. Rev.. -
Campbell, J.Y., Pflueger, C., Viceira, L.M., 2015. Monetary Policy Drivers of Bond and Equity Risks. Harvard Business School Working Paper 14-031.
Caporale, G.M. ; Girardi, A. Price discovery and trade fragmentation in a multi-market environment: evidence from the MTS system. 2013 J. Bank. Fin.. 37 227-240
Chen, L. ; Lesmond, D.A. ; Wei, J. Corporate yield spreads and bond liquidity. 2007 J. Fin.. 62 119-149
Chen, R. ; Cheng, X. ; Wu, L. Dynamic interactions between interest-rate and credit risk: theory and evidence on the credit default swap term structure. 2013 Rev. Fin.. 17 403-441
Cheung, Y., de Jong, F., Rindi, B., 2005. Trading European Sovereign Bonds – The Microstructure of the MTS Trading Platforms. ECB Working Paper No. 432.
- Codogno, L. ; Favero, C. ; Missale, A. ; Portes, R. ; Thum, M. Government bond spreads. 2003 Econ. Pol.. 18 503-532
Paper not yet in RePEc: Add citation now
Connolly, R. ; Stivers, C. ; Sun, L. Stock market uncertainty and the stock-bond return relation. 2005 J. Fin. Quant. Anal.. 40 161-194
Corò, F. ; Dufour, A. ; Varotto, S. Credit and liquidity components of corporate CDS spreads. 2013 J. Bank. Fin.. 37 5511-5525
- Darbha, M., Dufour, A., 2015. Euro Area Government Bond Market Liquidity. Working Paper.
Paper not yet in RePEc: Add citation now
David, A. ; Veronesi, P. What ties return volatilities to price valuations and fundamentals?. 2013 J. Polit. Econ.. 121 682-746
Dick-Nielsen, J. ; Feldhütter, P. ; Lando, D. Corporate bond liquidity before and after the onset of the subprime crisis. 2012 J. Fin. Econ.. 103 471-492
Dufour, A. ; Nguyen, M. Permanent trading impacts and bond yields. 2012 Eur. J. Fin.. 18 841-864
Dufour, A., Skinner, F., 2004. MTS Time Series: Market and Data Description for the European Bond and Repo Database. Working Paper.
- Dunne, P.G. ; Moore, M. ; Portes, R. European Government Bond Markets: Transparency, Liquidity, Efficiency. 2006 CEPR: London, UK
Paper not yet in RePEc: Add citation now
- Ermolov, A., 2015. Time-Varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks? Columbia Business School Working Paper.
Paper not yet in RePEc: Add citation now
Eser, F. ; Schwaab, B. Evaluating the impact of unconventional monetary policy measures: empirical evidence from the ECB's securities markets programme. 2016 J. Fin. Econ.. 119 147-167
- European Central Bank, 2004. The Euro Bond Market Study <https://www.ecb.europa.eu/pub/pdf/other/eurobondmarketstudy2004en.pdf>.
Paper not yet in RePEc: Add citation now
- European Central Bank, 2007. The Euro Bonds and Derivatives Markets <http://www.ecb.europa.eu/pub/pdf/other/eurobondmarketstudy200706en.pdf>.
Paper not yet in RePEc: Add citation now
Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 J. Fin. Econ.. 33 3-56
Favero, C. ; Pagano, M. ; von Thadden, E.-L. How does liquidity affect government bond yields?. 2010 J. Fin. Quant. Anal.. 45 107-134
Fawley, B.W., Neely, C.J., 2013. Four Stories of Quantitative Easing. Federal Reserve Bank of St. Louis Review January/February, pp. 51–88.
Frame, W.S. ; White, L.J. Charter value, risk-taking incentives, and emerging competition for Fannie Mae and Freddie Mac. 2007 J. Money Credit Bank.. 39 83-103
Frame, W.S. ; White, L.J. Fussing and fuming over Fannie and Freddie: how much smoke, how much fire?. 2005 J. Econ. Perspect.. 19 159-184
- Fratzscher, M., Duca, M.L., Straub, R., 2014. ECB unconventional monetary policy actions: market impact, international spillovers and transmission channels. In: IMF 15th Jacques Polak Annual Research Conference: Cross-Border Spillovers.
Paper not yet in RePEc: Add citation now
- Fridson, M.S. Do high-yield bonds have an equity component?. 1994 Fin. Manage.. 23 82-84
Paper not yet in RePEc: Add citation now
Gapen, M., Gray, D., Lim, C.H., Xiao, Y., 2008. Measuring and Analyzing Sovereign Risk with Contingent Claims. IMF Staff Papers 55(1), 109–148.
Geyer, A. ; Kossmeier, S. ; Pichler, S. Measuring systematic risk in EMU government yield spreads. 2004 Rev. Fin.. 8 171-197
- Gray, D. ; Merton, R. ; Bodie, Z. Contingent claims approach to measuring and managing sovereign credit risk. 2007 J. Invest. Manage.. 5 1-24
Paper not yet in RePEc: Add citation now
Gyntelberg, J., Hördahl, P., Ters, K., Urban, J., 2013. Intraday Dynamics of Euro Area Sovereign CDS and Bonds. BIS Working Paper No. 423.
Hancock, D., Passmore, S.W., 2010. An Analysis of Government Guarantees and the Functioning of Asset-Backed Securities Markets. FEDS Working Paper No. 2010-46.
Hau, H. ; Lai, S. Asset allocation and monetary policy: evidence from the Eurozone. 2016 J. Fin. Econ.. 120 309-329
Israelsen, C. A refinement to the Sharpe ratio and information ratio. 2005 J. Asset Manage.. 5 423-427
- Kinateder, H., Wagner, N., 2016. Quantitative Easing and the Pricing of EMU Sovereign Debt. Working Paper.
Paper not yet in RePEc: Add citation now
- Krishnamurthy, A., Nagel, S., Vissing-Jorgensen, A., 2015. ECB Policies Involving Government Bond Purchases: Impact and Channels. Haas Business School Working Paper.
Paper not yet in RePEc: Add citation now
Li, H. ; Wang, J. ; Wu, C. ; He, Y. Are liquidity and information risks priced in the Treasury bond market?. 2009 J. Fin.. 64 467-503
Longstaff, F.A. ; Pan, J. ; Pedersen, L.H. ; Singleton, K.J. How sovereign is sovereign credit risk?. 2011 Am. Econ. J.: Macroecon.. 3 75-103
Passmore, S.W. The GSE implicit subsidy and the value of government ambiguity. 2005 Real Estate Econ.. 33 465-486
Pelizzon, L. ; Subrahmanyam, M.G. ; Tomio, D. ; Uno, J. Sovereign credit risk, liquidity, and ECB intervention: deus ex machina?. 2016 J. Fin. Econ.. 122 86-115
- Persaud, A.D. Improving Efficiency in the European Government Bond Market. 2006 ICAP Publications:
Paper not yet in RePEc: Add citation now
Petkova, R. Do the Fama-French factors proxy for innovations in predictive variables. 2006 J. Fin.. 61 581-612
Reilly, F.K. ; Wright, D.J. ; Gentry, J.A. Historic changes in the high yield bond market. 2009 J. Appl. Corp. Fin.. 21 65-79
Riedel, C. ; Thuraisamy, ; Wagner, N. Credit cycle dependent spread determinants in emerging sovereign debt markets. 2013 Emerg. Mark. Rev.. 17 209-223
- Schwarz, K., 2016. Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads. Wharton School Working Paper.
Paper not yet in RePEc: Add citation now
Song, D., 2016. Bond Market Exposures to Macroeconomic and Monetary Policy Risks. Boston College Working Paper 915.
Svensson, L.E., 1994. Estimating and Interpreting Forward Interest Rates: Sweden 1992–1994. CEPR Discussion Paper No. 1051.
Szczerbowicz, U. The ECB unconventional monetary policies: have they lowered market borrowing costs for banks and governments?. 2015 Int. J. Central Bank.. 11 91-127
- Tang, D., Yan, H., 2008. Liquidity and Credit Default Swap Spreads. Working Paper.
Paper not yet in RePEc: Add citation now
Weigel, D.D. ; Gemmill, G. What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements. 2006 J. Int. Money Fin.. 25 476-502
White, H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. 1980 Econometrica. 48 817-838