-à-vis domestic bonds. This paper studies the effect of this jurisdiction choice on bond prices. We test whether foreign-law bonds …

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …) segmentation (convenience) premium. Identification is achieved by considering sovereign bond yields jointly with other rates … implementing bond purchases, the E.U.’s fiscal policy announcements lowered yields more uniformly …

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 …

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

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets … sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel …

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 …

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to …