The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets … sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel …

Programme and sovereign bond quotes to address the endogeneity issues. We propose an econometric model that considers … interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

bond market movements of up to 73 developed and emerging countries between 1994 and 2011. To cleanly identify the existence … of spillover effects, we perform an explicit counterfactual analysis which pits bond market reactions to small revisions …

above which the sovereign bond market moves to a crisis regime. We show that the threshold to a crisis regime for Italy and … amount to 120-130 basis points or (iii) the 5-year spread between the Kreditanstalt für Wiederaufbau (KfW) bond and the …

-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an …

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor's, Moody …'s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements …