A tale of two risks in the EMU sovereign debt markets

DOI10.1016/J.ECONLET.2018.08.042MaRDI QIDQ1629645zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(9)

• Making the Eurozone work: a risk-sharing reform of the European stability mechanism
• Regime-Dependent Sovereign Risk Pricing During the Euro Crisis*
• Sovereign illiquidity and recessions.
• 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
• Expectations and systemic risk in EMU government bond spreads
• Redenomination-risk spillovers in the eurozone
• EMU stability: direct and indirect risk sharing
• Measuring Systematic Risk in EMU Government Yield Spreads *

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