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Using annual data for 21 OECD countries we provide evidence of remarkable mispricing of sovereign bonds for the so-called GIIPS countries before the start of the financial crisis. Our results also qualify the view of pronounced overpricing in the crisis. In detail, we find: (i) Since the 1980s...
Persistent link: https://www.econbiz.de/10010311039
This paper provides a first preliminary assessment of the recent two 3-year long-term refinancing operations (3Y LTROs) conducted by the ECB by putting them into a broader context. The perspective taken is that prevailing in the first half of the year 2012, directly after the path-breaking ECB...
Persistent link: https://www.econbiz.de/10010369515
This paper qualifies the view of pronounced overpricing of sovereign bonds for the so-called GIIPS countries during the financial crisis. We use annual data for 21 OECD countries from 1980 to 2012. As opposed to related studies, our data set allows us to contrast the pricing of macroeconomic...
Persistent link: https://www.econbiz.de/10010398660
This paper qualifies the view of pronounced overpricing of sovereign bonds for the so-called GIIPS countries during the financial crisis. We use annual data for 21 OECD countries from 1980 to 2012. As opposed to related studies, our data set allows us to contrast the pricing of macroeconomic...
Persistent link: https://www.econbiz.de/10010460563
With the announcement to intervene on the financial markets in case of need to keep the Eurozone intact, the ECB has attenuated the pressure of the markets on the endangered peripheral countries of the Eurozone. Critics argue that by eliminating the market's disciplining interest mechanism,...
Persistent link: https://www.econbiz.de/10011310655
With the announcement to intervene on financial markets to restore the monetary transmission mechanism, the ECB has attenuated the pressure of the markets on the endangered peripheral countries of the Eurozone. Critics argue that by eliminating the markets' disciplining interest mechanism,...
Persistent link: https://www.econbiz.de/10011988696
This paper investigates the impact of the European Central Bank's unconventional monetary policies (UMP) between 2008-2019 on the European government bond yields. It adopts a novel econometric approach that combines a data-rich factor analysis and VAR with heteroskadasiticy based identification....
Persistent link: https://www.econbiz.de/10012494700
We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Iden- tification is...
Persistent link: https://www.econbiz.de/10012605257
We assess how countries' fiscal policies during COVID-19 pandemic influenced the effects of the Pandemic Emergency Purchase Programme (PEPP) on sovereign bond Option-Adjusted Spreads. Using a cross-sectional regression model with country and time-fixed effects, we analyse a sample of 1,368...
Persistent link: https://www.econbiz.de/10015419092
Based on its outward-oriented development strategy, respectable growth, increased integration into world trade and financial markets, and imperfect though vibrant and wide-based democracy, Turkey is often cited as a development model for other countries in the region and elsewhere. Countering...
Persistent link: https://www.econbiz.de/10010513258