What Drives Spreads in the Euro Area Government Bond Market?

By Simone Manganelli, Guido Wolswijk. 2007

356 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/efc47304f08e8e03bb6f81967deedb4d6a6f18f4

Citations in the corpus

• Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads (2018, unknown): “Researchers have proposed theoretical models in which liquidity can have an important effect on bond yield spreads, especially during a crisis; Acharya and Skeie (2011), Favero, Pagano and von Thadden (2010) and Manganelli and Wolswijk (2009).”
• Euro Area Sovereign Risk During the Crisis (2009, unknown): “The intuition behind this is certainly not new (see also Manganelli and Wolswijk, 2009 ).”
• The EMU sovereign-debt crisis: Fundamentals, expectations and contagion (2012, unknown): “…can be summarised as follows: First, the international risk factor was important in determining spreads against Germany (see Codogno et al. (2003), Geyer et al. (2004), Longstaff et al. (2007), Barrios et al. (2009), Sgherri and Zoli (2009), Manganelli and Wolswijk (2009) and Favero et al. (2010)).”
• Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2015, unknown): “…as credit risk, exchange rate movements, specific news, rating changes and even the probability of some countries exiting the euro area (see, e.g., Manganelli and Wolswijk, 2009; Haugh et al., 2009; Schuknecht et al., 2010; Borgy et al., 2011; De Santis, 2014; Beestma et al., 2013; Favero, 2013).”
• Determinants of Government Bond Spreads in New EU Countries (2010, unknown): “More recently, Manganelli and Wolswijk (2009) decomposed the spreads of eurozone government bonds during 1999–2008 into credit risk and liquidity risk premiums.”
• PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies (2011, unknown): “Most closely related to our study is the work of Ferri, Liu and Stiglitz (1999), Mulder and Perrelli (2001) and El-Shagi (2010) who discuss the role of rating agencies during the Asian Crisis at the end of the 1990s.”
• Bank profitability and risk-taking under low interest rates (2017, unknown): “The 'search for yield' and increased risk appetite can also be explained by the finding of Manganelli & Wolswijk (2009) that during muted economic growth, lower interest rates may reflect less risk aversion.”
• What Explains the Surge in Euro Area Sovereign Spreads during the Financial Crisis of 2007–09? (2009, unknown): “The construction of the dependent variable is in line with existing empirical studies (Codogno et al. 2003; Manganelli and Wolswijk 2009).”
• Banking and Sovereign Risk in the Euro Area (2010, unknown): “Manganelli and Wolswijk (2009) use the short term interest rate to identify aggregate risk and argue that low interest rates result in compression of sovereign spreads if investors have absolute return objectives.”
• Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience (2013, unknown): “The methodological standards for the analysis of sovereign bond spreads are mainly set by several studies investigating the yield differentials of European bonds in the aftermath of the monetary union (see, e.g., Codogno et al., 2003; Manganelli and Wolswijk, 2009; von Hagen et al., 2011).”