Size matters for liquidity: Evidence from EMU sovereign yield spreads

By Marta Gómez-Puig. 2006

139 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/635245a30f3945381c2e1324cabe4f058fdb6dec

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Citations in the corpus

Sovereign bond yield spreads: A time-varying coefficient approach (2012, unknown): “Gomez-Puig (2006)).”
Market Discipline, Financial Integration and Fiscal Rules: What Drives Spreads in the Euro Area Government Bond Market? (2007, unknown): “16 ECB Working Paper Series No 745 April 2007 between 10-year swaps in the currency of the country and the DM as a measure of the exchange and Missale 2003, Bernoth, von Hagen and Schuknecht 2004, Gomez-Puig 2006).”
PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies (2011, background): “Following the work of Kamin and von Kleist (1999) and Eichengreen and Mody (2000), who identified such a relationship for developing countries in the 1990s, Gomez-Puig (2006) finds a negative relationship between bond spreads and ratings for EMU members between 1996 and 2001.”
The Determinants of Sovereign Bond Yield Spreads in the EMU (2012, background): “On the other hand, Gomez-Puig (2006), Beber et al. (2009), and Manganelli and Wolswijk (2009) find that liquidity was an important determinant of yields spreads.”
Fiscal institutions, fiscal policy and sovereign risk premia in EMU (2008, unknown): “Following this reasoning, we assume as Bernoth et al. (2004) and Gomez-Puig (2006) do that liquidity depends on relative market size.”
Government Risk Premiums in the Bond Market: EMU and Canada (2008, unknown): “Gómez-Puig (2006) uses adjusted spreads of the yields on bonds issued by 10 European countries over DM bonds, where the adjustment uses appropriate swap rates to eliminate exchange rate uncertainty.”
Euro Area Sovereign Risk During the Crisis (2009, background): “In contrast, Pagano and Von Thadden (2004), Jankowitsch and others (2006), and Gomez-Puig (2006) find that liquidity matters and is related with the bond market’s size.”
Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia (2006, unknown): “This suggests that the total volume of supply of a security has a positive effect on its liquidity, an argument put forward also by Gómez-Puig (2006).”
Convergence and Anchoring of Yield Curves in the Euro Area (2008, unknown): “…Baele et al., a number of studies have found significant differences in yield spreads across euro area countries even after EMU due either to differences in credit risk (Codogno et al. 2003, Manganelli and Wolswijk 2007) or liquidity (Gómez-Puig 2006, Jankowitsch et al. 2006, Favero et al. 2008).”
What Are the Best Liquidity Proxies for Global Research (2017, background): “Undoubtedly, 4 Bhattacharya et al. (2000), Attig, Gadhoum, and Lang (2003), Gomez-Puig (2006), Gersl and Komarkov (2009), Erten and Okay (2012), Karolyi, Lee, and Van Dijk (2012), Beber and Pagano (2013), and Lee, Tseng, and Yang (2014).”
Banking and Sovereign Risk in the Euro Area (2010, unknown): “Hallerberg and Wolff (2008) confirm the impact of fiscal conditions on bond prices and show that it has become weaker following the introduction of the euro.”
The EMU sovereign-debt crisis: Fundamentals, expectations and contagion (2012, background): “By contrast, Gomez-Puig (2006), Beber et al. (2009), and Manganelli and Wolswijk (2009) argue in favour of a more prominent effect, particularly during periods of tightening financial conditions and higher interest rates.4 Moving to the literature covering the crisis period, consensus emerges on…”
What Drives Spreads in the Euro Area Government Bond Market? (2007, unknown): “(2009) 01/01/2002) 31/12/2003 Euro\{IE,GR,LU} Spreads driven by US corporate spreads Gómez-Puig (2006) 01/96)12/01 Euro\{GR,LU} Liquidity premium increased after EMU Jankowitsch et al. (2006) 01/99)03/01 {ES,FR,IT,NL,AT} Liquidity not captured by traditional measures Beber et al.”