Sovereign Risk Premia in the European Bond Market

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Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia (2006, unknown): “Following this reasoning, we assume as Bernoth et al. (2004) that liquidity depends on market size and, additionally, that all debt issued by a government in a given currency is homogeneous up to maturity.”
Current account imbalances and financial integration in the euro area (2011, unknown): “Schuknecht et al. (2009) and Bernoth et al. (2004) show that investors were asking for differentiated risk premiums on sovereign bonds in the euro area even before the crisis. the euro, cross-border asset and liability positions increased faster in Europe than in the rest of the world.”
Size matters for liquidity: Evidence from EMU sovereign yield spreads (2006, result): “Along the same lines, other authors such as Bernoth et al. (2004) also state that after the start of EMU German government bond yields are still below those of bonds issued by governments with much better debt positions due to the size of their bond market, which seems to support our conclusions.”
Fiscal institutions, fiscal policy and sovereign risk premia in EMU (2008, unknown): “2In particular, Heppke-Falk and Wolff (2008) suggest that the weakening of the relevance of fiscal policy for risk premia under EMU found in Bernoth et al. (2004) might either result from a significant improvement of the fiscal institutions in Europe or from a perceived increase in the likelihood…”