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 … before August 2007 to one driven by macro-fundamentals and international risk thereafter. The majority of EMU countries have …

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 …

French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 … bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis …

crisis, and up to 55% during the financial crisis, and both for core countries (from 40% to 60%) and periphery countries …

incompatible with the observation that risk spreads on peripheral bonds fell when QE in the euro area was announced. However, the … initial fall in risk premiums may have been due to expectations of the bond purchases proving effective in lowering risk …-free rates. When these expectations were disappointed, risk premiums returned to their initial level. Formal statistical tests …

. This might seem incompatible with the observation that risk spreads on peripheral bonds fell when the Euro area's QE was … lowering risk free rates. When these expectations were disappointed risk premia went back to their initial level. Formal …

As the recent crisis has forcefully suggested, understanding financial-market interconnectedness is of a paramount …. We investigate whether the 2008 financial crisis has resulted in a significant change in the topological properties of … the IFN. Our findings suggest that the crisis caused not only a reduction in the amount of securities traded, but also …