How Does Liquidity Affect Government Bond Yields?

By Carlo A. Favero, M. Pagano, Ernst-Ludwig von Thadden. Journal of Financial and Quantitative Analysis, 2009

332 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/33f5cbb0281cef1ea30e735a0a0d99d959f866ee

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Citations in the corpus

Banking and Sovereign Risk in the Euro Area (2010, methodology): “In the pre-euro period, we follow Favero et al. (1997) and Gomez-Puig (2006) and control for exchange rates by subtracting the difference between the ten year rates of D-Mark swaps and those of the other”
Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis (2013, neutral): “For instance, Fontana and Scheicher (2010) find that since the outset of the crisis, the bond market has had a predominant role in price discovery in Germany, France, the Netherlands, Austria, and Belgium, while the CDS market is playing a major role in Italy, Ireland, Spain, Greece, and Portugal.”
Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe (2014, background): “availability of derivatives markets for these assets, and a different response of national markets to global factors (Favero et al., 2010).”
The EMU sovereign-debt crisis: Fundamentals, expectations and contagion (2012, positive): “Increased focus on heterogeneous fiscal 4 Favero et al. (2010), on the other hand, provide theoretical justification and empirical evidence according to which during the early EMU-years liquidity had a smaller effect on sovereign spreads in periods of high risk.”
Modelling and forecasting government bond spreads in the euro area: A GVAR model (2013, neutral): “…also consistent with time varying models of the liquidity premia as the one proposed by Acharya and Pedersen (2005) and with the empirical evidence on a time-varying liquidity premium in the euro area co-moving with the default risk premium, reported in Beber et al. (2009) and Favero et al. (2010).”
The Determinants of Sovereign Bond Yield Spreads in the EMU (2012, methodology): “…(2010), Gerlach et al. (2010) and Acharya et al. (2011).3 International banking risk appears to have been transformed into sovereign risk through 1 Favero et al. (2010), on the other hand, provide th oretical justification and empirical evidence according to which during the early EMU-years…”