We study the variation of sovereign credit default swaps (CDSs) of eurozone countries, their persistence and co …-movements, with particular attention given to the impact of the financial crisis. Specifically, using a dual fractional integration … model, we test the evidence of long memory for CDSs of ten eurozone countries. Our analysis reveals that price discovery …

This study examines the tracking performance of 31 eurozone sovereign debt exchange traded index funds (ETFs) during … characteristics of EU sovereign bonds since the start of the sovereign debt crisis …

, southern European bonds exhibiting most volatility during the European debt crisis were not necessarily net transmitters to the …

-area sovereign debt crisis and the effectiveness of the European Central Bank's conventional monetary policy. First, our results show … that in the countries most affected by the crisis, the tensions in sovereign debt markets made credit conditions …

We analyse the dynamics of the pass-through of banks' marginal cost to bank lending rates over the 2008 crisis and the … euro area sovereign debt crisis in France, Germany, Greece, Italy, Portugal and Spain. We measure banks' marginal cost by …

At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the market … the crisis period. We find substantial variation in the patterns of the transmission effect between maturities and across …

, respond more quickly to crisis occurrences than those based on in-sample methods. The resulting relative and absolute …