In the paper we investigate the empirical features of euro area money market turbulence during the recent financial …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area … countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric …

We study correlations between the risk-free rate and sovereign yields of ten euro area countries using smooth …

the euro area during the first two years. The effect on real GDP appears to be stronger in the short term, while that on …

the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …

This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare …

framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we … euro area countries. In our empirical results the estimated LGDs perceived by financial markets stay comfortably below 40 …