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 spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

news about third countries to the covariance between other country pairs. Bond purchases by the ECB under its Securities …

the market perception of sovereign credit risk, whereas financial contagion appears to have exerted a non …

bidding in central bank tenders in a framework such as the one of the Eurosystem. The ECB has so far used fixed rate tenders …

(ECB). The data set starts with the first auctions after the ECB changed from fixed rate tenders to variable rate tenders …

market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM …06] by (i) incorporating the microstructure of the EONIA market including the ECB fine-tuning operation on the last day … calibrated model the ECB policy of liquidity frontloading is evaluated and compared with a reserve band system policy similar to …