We examine the dynamic relation between credit risk and liquidity in the Italian sovereign
bond market during the eurozone crisis and the subsequent European Central Bank (ECB) …

Abstract We explore whether Quantitative Easing negatively affected the functioning of the
market for treasuries. Focusing on the arbitrage between European sovereign bonds and …

We examine time-series variation in liquidity commonality across sovereign benchmark
bonds from 10 Euro-area countries, over a 7-year period using tick-by-tick data from the inter …

We study market microstructure and liquidity in the Italian sovereign bond market, the largest
in the Euro-zone, using a unique new dataset, recently obtained from the Mercato dei Titoli …

Recent advances in financial economics have emphasized that market players are
asymmetrically informed about asset values and that financial market transactions may …

Modelling the dynamics of (il) liquidity across assets is an important yet complicated task,
especially when considering significant deteriorations of liquidity conditions. Here, we …

I build a search model of bond and credit default swap (CDS) markets with endogenous
investor participation and show that shorting bonds through CDS increases the liquidity and …

We examine the dynamic interconnections between sovereign credit and liquidity risks in ten
euro area countries at the 5-year maturity with daily CDS data from IHS Markit and high …

This paper proposes new metrics for the process of price discovery on the main electronic
trading platform for euro-denominated government securities. Analysing price data on daily …

This chapter highlights similarities and differences of equity and fixed‐income markets and
provides an overview of the characteristics of European government bond market trading …