Convergence patterns in sovereign bond yield spreads : evidence from the Euro Area
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.03.002
Abstract: This study examines the convergence patterns of Euro Area (EA) 17 countries’ sovereign bond yield spreads (relative to German bund) over the period of March 2002 to December 2015, by employing the convergence algorithm developed… read more here.
Keywords: bond; yield spreads; sovereign bond; bond yield ... See more keywords
Sovereign bond return prediction with realized higher moments
Sign Up to like & getrecommendations! Published in 2019 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2019.05.002
Abstract: Abstract This paper analyzes whether realized higher moments are able to predict out-of-sample sovereign bond returns using high-frequency data from the European bond market. We study bond return predictability over tranquil and crisis periods and… read more here.
Keywords: realized higher; bond; higher moments; sovereign bond ... See more keywords
On the term structure of liquidity in the European sovereign bond market
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2020.105777
Abstract: The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS,… read more here.
Keywords: liquidity; bond market; market; sovereign bond ... See more keywords
An analysis of network filtering methods to sovereign bond yields during COVID-19
Sign Up to like & getrecommendations! Published in 2021 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2021.125995
Abstract: In this work, we investigate the impact of the COVID-19 pandemic on sovereign bond yields amongst European countries. We consider the temporal changes from financial correlations using network filtering methods. These methods consider a subset… read more here.
Keywords: network filtering; sovereign bond; bond yields; filtering methods ... See more keywords
Flow Effects of Central Bank Asset Purchases on Sovereign Bond Prices: Evidence from a Natural Experiment
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Money, Credit and Banking"
DOI: 10.1111/jmcb.12665
Abstract: We estimate the response of sovereign bond prices to net supply shocks caused by purchase operations under the ECB's Public Sector Purchase Programme (PSPP). To avoid simultaneity bias in the estimated relationship between prices and… read more here.
Keywords: purchase; bond prices; sovereign bond; flow effects ... See more keywords