10 year government bond spreads of Belgium, France, Italy, and the Netherlands versus Germany over the period 1991 … euro implying that the efficiency of the euro area government bond markets under consideration has increased. Full …

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for … model the euro area interbank lending rate EONIA by a log-normal distribution and the bond market purchases within the ECB …'s Securities Markets Programme by a Poisson distribution. We find evidence that the bond market interventions had a direct and …