We test the hypothesis that the government bond markets in the Eurozone are more fragile
and more susceptible to self-fulfilling liquidity crises than in stand-alone countries. We find …

Climate change is already a systemic risk to the global economy. While there is a large body
of literature documenting potential economic consequences, there is scarce research on the …

We offer a detailed empirical investigation of the EMU sovereign-debt crisis. We find a
marked shift in market pricing behaviour from a 'convergence-trade'model before August …

Since the intensification of the crisis in September 2008, all euro area long-term government
bond yields relative to the German Bund have been characterized by highly persistent …

We study whether and how a country's environmental, social, and governance (ESG)
performance relates to its sovereign borrowing costs in international capital markets. We …

This paper studies the effects of ECB communications about unconventional monetary
policy operations on the sovereign spreads of Greece, Ireland, Italy, Portugal, and Spain …

We investigate the interdependence of the default risk of several Eurozone countries
(France, Germany, Italy, Ireland, the Netherlands, Portugal, and Spain) and their domestic …

We study the determinants of sovereign bond yield spreads across 10 EMU countries
between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model …

This article describes the primary uses of the VIX index in the financial literature, offering for
the first time a joint view of its successes and failures in key financial areas. VIX is a model …

Greater financial integration between core and peripheral European Monetary Union (EMU)
members not only had an effect on both sets of countries but also spilled over beyond the …