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 …

Lehman, wurden die Finanzmärkte generell risiko-averser und begannen, Deutschland einen Zinsvorteil als Ausdruck eines …

stronger fiscal rules in euro area members reduce sovereign risk premia, in particular in times of market stress. To do so, we … develop a model of sovereign spreads that are determined by the probability of default in interaction with the level of risk …

include a liquidity risk premium. We also allow for liquidity effects in nominal bonds. These results are based on a model … with a systematic liquidity risk factor and asset-specific liquidity characteristics. We show that these liquidity (risk …

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply … due to a shift in macroeconomic fundamentals or due to altering risk pricing. We find that at the beginning of EMU, the … government debt level and the general investors' risk aversion had a significant impact on interest differentials. In the …

emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the matched countries in 2010, even allowing for … differences in fundamentals. One interpretation is that the market has mispriced risk in the Eurozone periphery. An alternative …

Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond … factors, approximated by risk measures or short term interest rates, play an important role for the evaluation of theses risks … find, that default risks measured via expected debt-to-GDP ratio explain a good stake of the variation of bond spreads in …