A tale of two risks in the EMU sovereign debt markets
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.08.042
Abstract: We introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our analysis shows that… read more here.
Keywords: two risks; tale two; risks emu; sovereign debt ... See more keywords