The European Bond Markets Under Emu

By M. Pagano, Ernst-Ludwig von Thadden. 2004

310 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/0ef80d052146d5c2d3b96962f69a9c403d34eb92

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1. Silvia Sgherri
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Citations in the corpus

• Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis (2013, unknown): “Pre-crisis period (1999-2006) During the pre-crisis period, on the one hand, Pagano (2004) shows that credit risk alone explaines a considerable portion of 10-year average yield differentials in EURO-zone countries during the 2001-2004 period, as a result of convergence after the transition to EMU. ”
• Testing for Opaqueness in the European Banking Industry: Evidence from Bond Credit Ratings (2006, unknown): “This feature of liquid assets is what Myers and Rajan (1998) call Bthe paradox of liquidity.^ Therefore bank financial assets (both hard to observe loans and easy to change trading assets) may be an inherent source of bank opaqueness.”
• Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia (2006, unknown): “Codogno et al. (2003) and Pagano and Thadden (2004) also note considerable co-movement of yield spreads, probably driven by international risk factors.”
• Euro Area Sovereign Risk During the Crisis (2009, methodology): “The method has been recently employed also for financial (Pitt and Shephard (1999)) and macroeconomic applications (see, among others, Fernández-Villaverde and Rubio-Ramírez (2007), An and Schorfheide (2007), and Lombardi and Sgherri (2007)).”
• Time-varying integration in European government bond markets (2014, unknown): “However, there are statistical challenges in identifying the relationship between public debt and the high-frequency changes in spreads (see Pagano and von Thadden, 2004).”
• Fiscal institutions, fiscal policy and sovereign risk premia in EMU (2008, unknown): “Codogno et al. (2003) and Pagano and Thadden (2004) also note considerable co-movement of yield spreads, probably driven by international risk factors.”
• EMU and European Government Bond Market Integration (2010, unknown): “Some recent literature has assessed the relative importance of systemic and idiosyncratic risk in EMU sovereign yield spreads (see Geyer, Kossmeier and Pischler (2004), Gómez-Puig (2009a and 2009b) or Pagano and von Thadden (2004)).”