In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large … factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk premia before the …

We study correlations between the risk-free rate and sovereign yields of ten euro area countries using smooth … transition conditional correlation GARCH (STCC-GARCH) specifications, controlling for credit risk in mean and variance equations … and conditioning non-linearly to liquidity risk. Correlations are state-dependent and heterogeneous across jurisdictions …

information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the “free-float of duration risk … central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock …

This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis … debt ratios relative to Germany contributed to higher government bond yield spreads in the euro area during the analysed …, of sovereign credit risk, first and foremost through a transfer of risk from the private financial sector to the …

reinforce each other. Finally, we provide strong empirical evidence that spreads depend on the ratings of the underlying bond …

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 … and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight …