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Dynamic Connectedness between Credit and Liquidity Risks in EMU Sovereign Debt Markets
Gómez-Puig, Marta; Pieterse-Bloem, Mary; … - 2022
We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the five year maturity with high-frequency data from MTS between January 2008 and December 2018 using the extension of the TVP-VAR connectedness approach of Antonakakis et al....
Persistent link: https://www.econbiz.de/10014238010
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Dynamic Connectedness between Credit and Liquidity Risks in Emu Sovereign Debt Markets
Gómez-Puig, Marta; Pieterse-Bloem, Mary; … - 2022
We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the five year maturity with high-frequency data from MTS between January 2008 and December 2018 using the extension of the TVP-VAR connectedness approach of Antonakakis et al....
Persistent link: https://www.econbiz.de/10014239527
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Time-varying importance of country and industry factors in European corporate bonds
Pieterse-Bloem, Mary; Qian, Zhaowen; Verschoor, Willem F. C. - In: Journal of empirical finance 38 (2016), pp. 429-448
Persistent link: https://www.econbiz.de/10011664791
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Eurozone government bond spreads : a tale of different ecb policy regimes
Eijffinger, Sylvester C. W.; Pieterse-Bloem, Mary - 2022
Persistent link: https://www.econbiz.de/10013366523
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Eurozone government bond spreads : a tale of different ECB policy regimes
Eijffinger, Sylvester C. W.; Pieterse-Bloem, Mary - In: Journal of international money and finance 139 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014478239
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Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets
Gómez Puig, Marta; Pieterse-Bloem, Mary; … - In: Journal of multinational financial management 68 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014424768