Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Tomio, Davide"'
Publikováno v:
In Journal of Monetary Economics October 2022 131:92-111
Publikováno v:
In Journal of Financial Economics March 2022 143(3):1251-1274
Publikováno v:
In Journal of Financial Economics October 2016 122(1):86-115
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::99f5b622a28120ba5f3c262482f6d24a
https://hdl.handle.net/10419/203319
https://hdl.handle.net/10419/203319
Autor:
Tomio, Davide
The first essay investigates how credit risk, the risk that a bond issuer will default, affects bond market liquidity. Specifically, we depart from the current literature in that we analyze the direct and indirect channels through which credit risk a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::78b78ef06d55e8502b456028da9d085b
https://hdl.handle.net/10419/209030
https://hdl.handle.net/10419/209030
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::5eb77532ac028877e51adde55710cb45
https://hdl.handle.net/10419/109026
https://hdl.handle.net/10419/109026
Publikováno v:
SSRN Electronic Journal.
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b74b38199957a4a1eddaa2f1b84e092d
https://doi.org/10.2139/ssrn.2345656
https://doi.org/10.2139/ssrn.2345656