characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and … between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …

a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual … between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply … interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime …

model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading … deal with the different monetary regimes since the Sovereign debt crisis (SDC) I also model the German term structure …

-ordination. -- euro-area ; crisis ; spreads ; fundamentals ; expectations ; contagion ; speculation … experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by …

characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and … between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …

a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at …This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played …

activity a speculation and a hedging ratio are used. Applying GARCH models, we first analyse the influence of both ratios on … speculation ratio on conditional volatility. The results relying on the hedging ratio are inconclusive …

bubble, bankers (traders) drive the price above its fundamental value in a dynamic way, driven by rational expectations about …

I review the literature on financial speculation driven by belief disagreements from a macroeconomics perspective. To …-selling constraints, speculation can generate overvaluation and speculative bubbles. Leverage can substantially inflate speculative …, speculation induces procyclical asset valuation. When speculation affects the price of aggregate assets, it also influences …