This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the period 1999.01-2010.12. We find that, on top of the fundamentals themselves, changes in the sensitivity of bond prices to fundamentals are also necessary to explain yields over the...

We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by Arghyrou and Tsoukalas (2010). We find evidence of a marked shift in market pricing behaviour from a 'convergence-trade' model before August 2007 to one driven by...

We test for real interest rate convergence in the EU25 area. Our contribution is twofold: first, we account for the previously overlooked effects of structural breaks on real interest rate differentials. Second, we test for convergence against the EMU average. For the majority of our sample...

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework...

We use insights from the literature on currency crises to offer an analytical treatment of the crisis in the market for Greek government bonds. We argue that the crisis itself and its escalating nature are very likely to be the result of: (a) steady deterioration of Greek macroeconomic...

We use a macro-theory framework of analysis to assess Greek macro-policy with emphasis on the period of the Greek debt crisis. The latter is mainly the result of misguided past internal policies deviating from the policy lessons of modern macroeconomics. The current policy, however, provides a...

We analyse the background of the Greek debt crisis and evaluate the three Greek financial assistance programme. The crisis and the first programme’s (2010-11) failure were mainly the result of misguided internal policies. The second programme (2012-14) achieved progress towards recovery but...

We examine the relationship between private bank deposits and macro/fiscal risk in the euro area. We test three hypotheses: First, private bank deposits relative to Germany are determined by macro/fiscal risk factors. Second, this relationship is time-varying. Third, time-variation is driven by...