G15 - International Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T01:32:12+00:00Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
https://www.bankofcanada.ca/2015/04/working-paper-2015-13/
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.2015-04-20T12:53:07+00:00enEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis2015-04-20Asset pricingFinancial marketsInterest ratesInternational financial marketsWorking Paper 2015-13https://www.bankofcanada.ca/wp-content/uploads/2015/04/wp2015-13.pdfEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt CrisisMichael EhrmannMarcel FratzscherApril 2015EE5FF3GG1G15