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Credit and Liquidity Risks in Euro-area Sovereign Yield Curves. (2011). Renne, Jean-Paul ; Monfort, Alain.
In: Working Papers.
RePEc:crs:wpaper:2011-26.

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  1. Forecasting sovereign risk in the Euro area via machine learning. (2023). Istrefi, Klodiana ; CAICEDO GRACIANO, Carlos Mateo ; Boeckelmann, Lukas ; di Iorio, Alberto ; Belly, Guillaume ; Stallabourdillon, Arthur ; Siakoulis, Vasileios.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:3:p:657-684.

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  2. Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Debarsy, Nicolas ; Ertur, Cem ; Dossougoin, Cyrille.
    In: Post-Print.
    RePEc:hal:journl:hal-01744629.

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  3. Bid-to-cover and yield changes around public debt auctions in the euro area. (2018). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:87:y:2018:i:c:p:118-134.

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  4. Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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  5. Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20172056.

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  6. Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11932.

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  7. Measuring Sovereign Risk Spillovers and Assessing the Role of Transmission Channels: A Spatial Econometrics Approach. (2016). Debarsy, Nicolas ; Dossougoin, Cyrille ; Gnabo, Jean-Yves ; Ertur, Cem.
    In: LEO Working Papers / DR LEO.
    RePEc:leo:wpaper:2441.

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  8. Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area. (2016). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11122.

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  9. Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach. (2016). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem.
    In: CORE Discussion Papers.
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  10. Real Term Structure and Inflation Compensation in the Euro Area. (2014). Pericoli, Marcello.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2014:q:1:a:1.

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  11. The pricing of G7 sovereign bond spreads – The times, they are a-changin. (2014). Ehrmann, Michael ; D'Agostino, Antonello ; Dagostino, Antonello .
    In: Journal of Banking & Finance.
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  12. Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach. (2013). Cathcart, Lara ; Badaoui, Saad ; El-Jahel, Lina.
    In: Journal of Banking & Finance.
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  13. The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal. (2012). De Santis, Roberto A..
    In: Working Paper Series.
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  14. Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets. (2011). Renne, Jean-Paul ; Mésonnier, Jean-Stéphane ; Laubach, Thomas ; Borgy, Vladimir ; Mesonnier, J-S., ; Renne, J-P., .
    In: Working papers.
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  73. Generating positive PDs is arguably a more important objective than getting positive liquidity compensations. As a consequence, Ï1 is taken higher than Ï2. We use Ï1 = 4 and Ï2 = 1 (see equation 25) for all countries except for Finland, for which we set these parameters to zero. With Ï1 = 4 and Ï2 = 1, we get positive and statistically signiïcant Finnish PDs in the early 2000s. It may be due to the fact that the liquidity of Finnish bonds has increased over the last decade; but in our framework, we can not increase the liquidity spreads in the early 2000s without producing deeply negative PDs in the late 2000s (penalized when Ï1 = 4). F Historical and risk-neutral dynamics of yt and zt 41 F Historical and risk-neutral dynamics of yt and zt Tab. 4: Parameters deïning the historical and risk-neutral dynamics (Part 1/2)
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  32. Fire Sales, Foreign Entry and Bank Liquidity. (2007). Yorulmazer, Tanju ; Shin, Hyun Song ; Acharya, Viral.
    In: CEPR Discussion Papers.
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  33. Slow Moving Capital. (2007). Pedersen, Lasse ; Mitchell, Mark ; Pulvino, Todd .
    In: CEPR Discussion Papers.
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  34. Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market. (2006). Beber, Alessandro ; Brandt, Michael W. ; Kavajecz, Kenneth A..
    In: NBER Working Papers.
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  35. A Skeptical Appraisal of Asset-Pricing Tests. (2006). Shanken, Jay ; Nagel, Stefan ; Lewellen, Jonathan .
    In: NBER Working Papers.
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  36. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
    In: NBER Working Papers.
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  37. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert .
    In: Working Papers.
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  38. The Nontradable Share Reform in the Chinese Stock Market. (2006). Bortolotti, Bernardo ; Beltratti, Andrea.
    In: Working Papers.
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  39. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
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  40. Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae B..
    In: CEPR Discussion Papers.
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  41. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
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  42. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
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  43. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-10.

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  44. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Lynch, Anthony W. ; Tan, Sinan .
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  45. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10755.

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  46. Predatory Trading. (2004). Pedersen, Lasse ; Brunnermeier, Markus.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:425.

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  47. Liquidity Black Holes. (2003). Shin, Hyun Song ; Morris, Stephen.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1434.

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  48. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Nieto, Belen ; Miguel Angel A. Martinez, ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
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  49. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Martinez Sedano, Miguel ; Nieto, Belen ; Tapia, Mikel ; Rubio, Gonzalo.
    In: DEE - Working Papers. Business Economics. WB.
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  50. Liquidity Risk and Expected Stock Returns. (2002). Stambaugh, Robert ; Pastor, Lubos.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3494.

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