A tale of two risks in the EMU sovereign debt markets

DOI10.1016/J.ECONLET.2018.08.042zbMATH Open1406.91262OpenAlexW2889460144MaRDI QIDQ1629645FDOQ1629645

Authors: Duc Khuong Nguyen, Ahmet Sensoy, Erdinç Akyıldırım 

Publication date: 12 December 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/49865

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zbMATH Keywords

liquiditysystematic riskEuropean Monetary Unionsovereign bonds

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Dynamic integration and network structure of the EMU sovereign bond markets

Cited In (9)

• Regime-Dependent Sovereign Risk Pricing During the Euro Crisis*
• Expectations and systemic risk in EMU government bond spreads
• Redenomination-risk spillovers in the eurozone
• Sovereign illiquidity and recessions.
• Measuring Systematic Risk in EMU Government Yield Spreads *
• The impact of EMU on bond yield convergence: evidence from a time-varying dynamic factor model
• Transmission of the Greek crisis on the sovereign debt markets in the euro area
• EMU stability: direct and indirect risk sharing
• Making the Eurozone work: a risk-sharing reform of the European stability mechanism

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