Greece 10-year benchmark bond spread and volatility in euro area 10-year yield spreads

2013 ◽  
Keyword(s):  
Euro Area ◽  
Yield Spreads

scholarly journals Macro news and bond yield spreads in the euro area

2017 ◽  
Vol 24 (2) ◽  
pp. 114-134 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

scholarly journals Macro News and Bond Yield Spreads in the Euro Area

2014 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

scholarly journals Euro area sovereign yield spreads as determinants of private sector borrowing costs

2020 ◽  
Vol 84 ◽  
pp. 27-37 ◽  
Author(s):  
Thomas Theobald ◽  
Silke Tober
Keyword(s):  
Private Sector ◽  
Euro Area ◽  
Yield Spreads ◽  
Borrowing Costs

scholarly journals Volatility of yields of government bonds among GIIPS countries during the sovereign debt crisis in the euro area

Equilibrium ◽  
2016 ◽  
Vol 11 (1) ◽  
pp. 61 ◽  
Author(s):  
Tomas Heryan ◽  
Jan Ziegelbauer
Keyword(s):  
Euro Area ◽  
Sovereign Debt ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
Bond Yields ◽  
Government Bonds ◽  
Yield Spreads ◽  
Crisis Period ◽  
The Global Financial Crisis

The aim of the paper is to estimate, how the volatility of yields of the Greek bonds affects yields’ volatilities of bonds in selected European countries during the period of the sovereign debt crisis in the euro area. We obtained data for 10-year bonds in a weekly frequency from January 2006 till the end of December 2014. To make a comparison of pre-crisis period, we firstly investigate a bond yields’ volatility before 15th September 2008, when U.S. Leman Brothers bankrupted and the global financial crisis had been reflected in full. However, the period of the global financial crisis could also negatively affect the development of government bonds. Therefore, the period after Leman Brothers’ bankruptcy has been excluded and our crisis period starts after 23rd April 2010, when Greece asked the IMF for financial help and the sovereign debt crisis had been reflected in full. Volatility models GARCH (1,1), IGARCH (1,1) and TARCH (1,1) were used as an estimation method. To examine the risk premium of all GIIPS economies (Greece, Ireland, Italy, Portugal and Spain), we also compared the whole investigation with the developments of each spread against the yields of German government bonds. Our results clearly proved not only big differences between pre-crisis and crisis period, but also differences in output with the bond yield spreads. It was concluded that  there has been a higher impact of the Greek bond yields, as well as yield spreads volatility in 2010 and 2011, while it is on the lower level in pre-crisis period.

scholarly journals Integration of Government Bond Market in the Euro Area and Monetary Policy

2016 ◽  
Vol 5 (1) ◽  
pp. 71-97
Author(s):  
Velimir Lukić
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Euro Area ◽  
Debt Crisis ◽  
Bond Market ◽  
Unintended Consequences ◽  
Government Bond ◽  
Lender Of Last Resort ◽  
Yield Spreads ◽  
The Government

Abstract This paper combines analysis of evolution in euro area government bond market integration and interference of European Central Bank with functioning of respective market recently. Since the introduction of euro, government bond yields converged in the euro area, bonds of different countries have become close substitutes in the perception of investors, and overall integration of the market was rather high. At the end of 2008, dramatic shift occurred and ever since disintegrative forces were set in motion. The paper presents the following measures of integration of the government bond markets: yield spreads, dispersion in yield spreads and beta coefficient. All three measures suggest unprecedented market disintegration as of 2010. The paper highlighted relevance of sovereign bond market for the smooth functioning of the monetary policy transmission mechanism in a monetary union context. Three ECB’s programmes aimed at sovereign debt crisis resolution were analysed in details. They proved successful in lowering peripheral countries’ yields and spreads, and calming the markets. If one takes central bank function of the lender of last resort for banks, then these programmes may be viewed as the “buyer of last resort” device for government bonds. Although warranted by exceptional circumstances and need for swift response, a due caution should be paid to these programmes since they pose certain challenges for conduct of monetary policy and might even have unintended consequences.

Does news on the euro area impact the sovereign yield spreads?

2015 ◽  
Vol 8 (1) ◽  
pp. 4 ◽  
Author(s):  
Houssam Bouzgarrou ◽  
Tarek Chebbi
Keyword(s):  
Euro Area ◽  
Yield Spreads

scholarly journals Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area

2017 ◽  
Vol 49 ◽  
pp. 129-139 ◽  
Author(s):  
Nikolaos Antonakakis ◽  
Christina Christou ◽  
Juncal Cunado ◽  
Rangan Gupta
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Sovereign Bond ◽  
Bond Yield
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