The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign … markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre …-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting …

amplified the transmission of risk from the sovereign and its impact on lending. This amplification of the impact on lending …

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence …

explained by concurrent risk‐shifting, carry‐trading, regulatory compliance, or shocks to investment opportunities …

area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity …

developments in sovereign spreads: an aggregate regional risk factor, the country-specific credit risk and the spillover effect … from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all …

assets with different types of risk premia. We then derive model-based predictions for cross-asset price movements associated …