Liquidity and credit premia in the yields of highly-rated sovereign bonds

Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

“…These types of auction cycles may also occur in other markets, such as in equity markets and corporate debt markets (see, e.g., Duffie 2012). Von Hagen, Schuknecht, and Wolswijk (2011), Mohl and Sondermann (2013), Monfort and Renne (2014), De Santis (2014), and Ejsing, Grothe, and Grothe (2015). Other papers, such as Pozzi and Wolswijk (2012), Christiansen (2014), and Cipollini, Coakley, and Lee (2015), study the integration of these markets after the introduction of the euro in 1999.…”

“…Several studies analyze the determinants of sovereign yields in the euro area during the crisis, with a particular focus on country risk and liquidity. Examples are Beber, Brandt, and Kavayecz (), Favero, Pagano, and von Thadden (), Von Hagen, Schuknecht, and Wolswijk (), Mohl and Sondermann (), Monfort and Renne (), De Santis (), and Ejsing, Grothe, and Grothe (). Other papers, such as Pozzi and Wolswijk (), Christiansen (), and Cipollini, Coakley, and Lee (), study the integration of these markets after the introduction of the euro in 1999.…”

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

“…The estimated period is from January 2006 till December 2014. We obtained yields for 10 years government bonds in Greece, Ireland, Italy, Portugal and Spain (GIIPS countries), and also make its spreads against the yields of 10 years bonds in Germany to examine risk of selected countries (see Claeys & Vašíček, 2014;Ejsing et al, 2015). We split our whole estimated period into two sub-periods, pre-crises period from January 2006 to 15 th September 2008 when global financial crisis had been reflected in full, and the crisis sub-period from 23 rd April 2010 to December 2014 (see Antonakakis & Vergos, 2013).…”

“…However, the situation in the EMU which started the sovereign debt crisis should still be paid attention to, due to its negative impacts on other European economies. The term structure of government bond yields is a key source of information regarding investors' views on inflation and economic growth (Ejsing et al, 2015). Volatility is one of the most important determinants of asset value for stocks as well as bonds, the two most important asset classes (Zhou, 2014).…”

Asia Bond Monitor:

“…However, there is a view that the difference between yields on agency bonds and government bonds is attributable to the characteristics of the underlying assets, prepayment risk, and/or the smaller issuance volumes of agency bonds than government bonds and the resultant lower liquidity levels (Prokopczuk, Siewert, and Vonhoff 2013;Ejsing, Grothe, and Grothe 2015).…”