Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*

2013 ◽  
Vol 18 (6) ◽  
pp. 2103-2151 ◽  
Author(s):  
Alain Monfort ◽  
Jean-Paul Renne
Keyword(s):  
Euro Area ◽  
Sovereign Spreads

scholarly journals Monetary Policy Surprises over Time

2018 ◽  
Vol 08 (01) ◽  
pp. 1840002 ◽  
Author(s):  
Marcello Pericoli ◽  
Giovanni Veronese
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Euro Area ◽  
Yield Curve ◽  
Sovereign Spreads ◽  
Definition Of ◽  
Term Premia ◽  
The Impact ◽  
Over Time

We document how the impact of monetary surprises on euro-area and US financial markets has changed from 1999 to date. We use a definition of monetary policy surprises, which singles out movements in the long-end of the yield curve — rather than those changing nearby futures on the central bank reference rates. By focusing only on this component of monetary policy, our results are more comparable over time. We find a hump-shaped response of the yield curve to monetary policy surprises, both in the pre-crisis period and since 2013. During the crisis years, Fed path-surprises, largely through their effect on term premia, account for the impact on interest rates, which is found to be increasing in tenor. In the euro area, the path-surprises reflect the shifts in sovereign spreads, and have a large impact on the entire constellation of interest rates, exchange rates and equity markets.

scholarly journals What Explains the Surge in Euro Area Sovereign Spreads During the Financial Crisis of 2007-2009?

2011 ◽  
pp. 407-414 ◽  
Author(s):  
Maria-grazia Attinasi ◽  
Cristina Checherita ◽  
Christiane Nickel
Keyword(s):  
Financial Crisis ◽  
Euro Area ◽  
Sovereign Spreads
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