debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … sensitivity of financial markets to fundamentals – are the main explanations for the rise in sovereign yield spreads and CDS …

-to-quality effect. Common news about the euro crisis and news about specific countries itself tend to raise the covariance of yields … between distressed countries, indicating potential crisis spill-over effects. However, we do not detect spillover effects from … Markets Programme (SMP) mitigate the negative crisis spillovers among the distressed countries and reduce the flight …

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory …

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

recent global liquidity crisis and, in particular, the quant event of 2007. …

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator … depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

policymakers, who wish to extract macroeconomic expectations from longer-term interest rates, and take actions to influence those … rates. The simplest model of the term structure is the expectations hypothesis, which posits that long-term interest rates … are expectations of future average short-term rates. In this paper, we show that many features of the configuration of …

We study the determinants of euro area sovereign bond spreads since the introduction of the euro. An aggregate risk … factor is a main driver of spreads, both directly and indirectly by interacting with the size and structure of national … widening in yield spreads, suggesting that financial markets perceive a larger risk that governments will have to rescue banks …

following the 1992-93 crisis of the European Monetary System, and that we call here "escape clause". The escape clause approach … broadens the set of fundamentals to nonmonetary variables, including unemployment or the state of the banking sector, and even … "softer" fundamentals such as the reputation of the policymaker and the rules of the game played by the participants in a …