Search Results

On the design of sovereign bond-backed securities,
Emilio Barucci, Damiano Brigo, Marco Francischello and Daniele Marazzina, in International Journal of Financial Engineering (IJFE) (2022)
Keywords: Sovereign Bond-Backed Securities, securitization, tranche, diversification, Euro

Sovereign Bond Spreads and Credit Sensitivity,
Ricardo Schefer, from Universidad del CEMA (2020)
Keywords: bond, sovereign, spread, expected, risk neutral, default, duration, yield

Sovereign Bond Risk Premiums,
Engelbert Dockner, Manuel Mayer and Josef Zechner, from Oesterreichische Nationalbank (Austrian Central Bank) (2017)
Keywords: Sovereign bond risk premiums, market and credit risk factors, euro-zone debt crisis

A new measure for gauging the riskiness of European Banks’ sovereign bond portfolios,
Philip Molyneux, Livia Pancotto and Alessio Reghezza, in Finance Research Letters (2021)
Keywords: Bank sovereign risk exposure; Sovereign bond portfolios; Sovereign-bank nexus;

Sovereign Bond Prices, Haircuts and Maturity,
Dirk Niepelt, from Universitaet Bern, Departement Volkswirtschaft (2022)
Keywords: Sovereign Debt; Sovereign Default; Debt Restructuring; Bond Prices; Haircuts; Maturity; Restructuring Probability.

Sovereign bond prices, haircuts and maturity,
Tamon Asonuma, Dirk Niepelt and Romain Ranciere, in Journal of International Economics (2023)
Keywords: Sovereign debt; Sovereign default; Debt restructuring; Bond prices; Haircuts; Maturity; Restructuring probability;

On International Integration of Emerging Sovereign Bond Markets,
Itai Agur, Melissa Chan, Mangal Goswami and Sunil Sharma, from International Monetary Fund (2018)
Keywords: WP;EM;sovereign bond;currency;yield; F21; F65; G15; H63; O16; sovereign bond bond market; currency bond; EM sovereign bond bond yield; EM bond markets; dollar-denominated debt; EM sovereign bond bond market; EM debt fund; EM currency; EM bond; Securities markets; Bond yields; Bonds; Sovereign bonds; Global; Africa

On the efficiency of sovereign bond markets,
Luciano Zunino, Aurelio Fernandez Bariviera, M. Belén Guercio, Lisana B. Martinez and Osvaldo A. Rosso, in Physica A: Statistical Mechanics and its Applications (2012)
Keywords: Sovereign bond market efficiency; Complexity-entropy causality plane; Permutation entropy; Permutation statistical complexity; Bandt and Pompe method; Ordinal time series analysis;

On the Determinants of First-Time Sovereign Bond Issues,
David Grigorian, from International Monetary Fund (2003)
Keywords: WP;sovereign bond;emerging market; sovereign bonds; first-time market access; capital markets; sovereign bond bond issue; sovereign bond issuance; Dita sovereign bond; sovereign bond issuer; emerging market bond issuance; Bonds; Emerging and frontier financial markets; Securities markets; International capital markets; Eastern Europe; Global

"Loose lips sinking markets?": the impact of political communication on sovereign bond spreads,
Marion Salines, Gabriel Glöckler, Thomas Gade and Steffen Strodthoff, from European Central Bank (2013)
Keywords: political communication, public finances, sovereign bond spreads, sovereign debt crisis

How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device,
David Cronin and Peter Dunne, from Central Bank of Ireland (2018)
Keywords: Safe Assets, Sovereign Bond Securitisation, Bank-Sovereign Diabolic Loop

Sovereign bond market integration: the euro, trading platforms and globalization,
Guntram Wolff and Alexander Schulz, from Deutsche Bundesbank (2008)
Keywords: sovereign bond market, bond market integration, EMU, electronic trading

Sovereign bond market integration: the euro, trading platforms and financial crises,
Alexander Schulz and Guntram Wolff, from University Library of Munich, Germany (2009)
Keywords: sovereign bond market, bond market integration, EMU, electronic trading

CDS, bond spread and sovereign debt crisis in peripherial EU,
Serpil Kahraman Akdoğu, from University Library of Munich, Germany (2012)
Keywords: CDS; bond spread; sovereign debt crisis

Spillover across sovereign bond markets between the US and ASEAN4 economies,
Andrew Tsang, Matthew S. Yiu and Huy Toan Nguyen, in Journal of Asian Economics (2021)
Keywords: ASEAN4; Sovereign bond; Spillovers; Multivariate-GARCH;

Emerging market sovereign bond spreads and shifts in global market sentiment,
Balázs Csontó, in Emerging Markets Review (2014)
Keywords: Sovereign bond spreads; Emerging markets; Regime shift;

The Determinants of Sovereign Bond Yields in the EMU: New Empirical Evidence,
Hazar Altinbas, Vincenzo Pacelli and Edgardo Sica, in International Journal of Economics and Finance (2018)
Keywords: sovereign bond yields, EMU, economic crisis

Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly,
David Cronin, Thomas Flavin and Lisa Sheenan, in Economics Letters (2016)
Keywords: Eurozone sovereign bond crisis; Contagion; Interdependence;

How effective are sovereign bond-backed securities as a spillover prevention device?,
David Cronin and Peter Dunne, in Journal of International Money and Finance (2019)
Keywords: Safe Assets; Bond securitisation; Sovereign risk contagion;

How effective are sovereign bond-backed securities as a spillover prevention device?,
David Cronin and Peter Dunne, from European Systemic Risk Board (2018)
Keywords: bond securitisation, safe assets, sovereign risk contagion

Correlation between Maltese and euro area sovereign bond yields,
Reuben Ellul Dimech, from University Library of Munich, Germany (2017)
Keywords: correlation, sovereign bond yields, MGARCH-DCC, Malta

Estimating the contribution of macroeconomic factors to sovereign bond spreads in the euro area,
Pablo Burriel, Mar Delgado-Téllez, Camila Figueroa, Iván Kataryniuk and Javier Pérez, from Banco de España (2024)
Keywords: sovereign bond spreads, euro area, macroeconomic fundamentals

Analysis of the evolution of sovereign bond yields by wavelet techniques,
David Chinarro, Eduardo Martínez and Simón J. Sosvilla, in Cuadernos de Economía - Spanish Journal of Economics and Finance (2015)
Keywords: Sovereign bond; Wavelet; Coherence; Entropy; Time series; Correlation; Comovement

DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET,
Harald Kinateder, Robert Bauer and Niklas F. Wagner, in Bulletin of Monetary Economics and Banking (2020)
Keywords: ASEAN-5 countries; Arbitrage capital; Illiquidity; Noise measure; Sovereign bond markets

The political determinants of sovereign bond yield spreads,
Stefan Eichler, in Journal of International Money and Finance (2014)
Keywords: Sovereign bond yield spreads; Political variables; Emerging markets;

The End of Gatekeeping: Underwriters and the Quality of Sovereign Bond Markets, 1815-2007,
Marc Flandreau, Juan Flores Zendejas, Norbert Gaillard and Sebastián Nieto-Parra, from C.E.P.R. Discussion Papers (2009)
Keywords: Banks competition; Certification; Primary bond market; Sovereign debt crises

THE SOVEREIGN BOND MARKETS RETURN AND VOLATILITY SPILLOVERS,
Maruška Vizek, in Economic Thought and Practice (2019)
Keywords: volatility spillover index, return spillover index, sovereign bond markets

The End of Gatekeeping: Underwriters and the Quality of Sovereign Bond Markets, 1815–2007,
Marc Flandreau, Juan H. Flores, Norbert Gaillard and Sebastián Nieto-Parra, from ULB -- Universite Libre de Bruxelles (2009)
Keywords: certification; primary bond market; sovereign debt crises; banks competition

The End of Gatekeeping: Underwriters and the Quality of Sovereign Bond Markets, 1815-2007,
Marc Flandreau, Juan Flores Zendejas, Norbert Gaillard and Sebastián Nieto-Parra, from Economics Section, The Graduate Institute of International Studies (2009)
Keywords: certification, primary bond market, sovereign debt crises, banks competition

The Impact of Sovereign Bond Yields on Fiscal Discipline,
Karlis Vilerts and Olegs Tkacevs, from Latvijas Banka (2016)
Keywords: fiscal policy, fiscal reaction function, sovereign bond yields, panel data

Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies,
Tigran Poghosyan, from International Monetary Fund (2012)
Keywords: WP;bond yield;government bond bond yield;inflation; Government bond yields; long-run and short-run determinants; panel cointegration; debt ratio; sovereign bond bond yield; sovereign bond yield; real bond yields; Bond yields; Yield curve; Sovereign bonds; Fiscal stance; Global

Response of Africa to global sovereign bond volatility spillover,
Kalu O. Emenike, in SN Business & Economics (2023)
Keywords: International sovereign bond, Volatility spillover, Bond markets integration, Africa and global economy

Sovereign Bond Prices, Haircuts and Maturity,
Tamon Asonuma, Dirk Niepelt and Romain Ranciere, from International Monetary Fund (2017)
Keywords: WP;coupon rate; Sovereign Debt; Default; Debt Restructuring; Bond Prices; Haircuts; Maturity; Default Probability; recovery rate; bond price differential; price difference; longer-term bond; term structure; bond maturity; Asset prices; Bonds; Securities; Debt default

Global Financial Spillovers to Emerging Market Sovereign Bond Markets,
Christian Ebeke and Annette Kyobe, from International Monetary Fund (2015)
Keywords: WP;investor;bond yield;EM sovereign bond bond yield; Financial shocks; EM bond markets; Spillovers; Non-linearity; Interest rates; investor base; EM sovereign bond yield; sovereign bond bond market; sovereign bond market; Sovereign bonds; Bond yields; Securities markets; Forward exchange rates; Global; Africa

Testing for multi-fractality and efficiency in selected sovereign bond markets: a multi-fractal detrended moving average (MF-DMA) analysis,
Selçuk Bayraci, in International Journal of Computational Economics and Econometrics (2018)
Keywords: sovereign bond markets; relative efficiency; multifractality.

Do primary dealer funding constraints impact sovereign bond liquidity and yields: evidence for nine Euro area countries,
Massimo Ferrari, Stéphanie Stolz and Michael Wedow, in Empirical Economics (2019)
Keywords: Liquidity, Primary dealer, Sovereign bond markets

Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries,
Gunther Capelle-Blancard, Patricia Crifo, Marc-Arthur Diaye, Rim Oueghlissi and Bert Scholtens, from HAL (2016)
Keywords: ESG performance, sovereign bond yield spreads

Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries,
Gunther Capelle-Blancard, Patricia Crifo, Marc-Arthur Diaye, Rim Oueghlissi and Bert Scholtens, from HAL (2016)
Keywords: ESG performance, sovereign bond yield spreads

Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries,
Gunther Capelle-Blancard, Patricia Crifo, Marc-Arthur Diaye, Rim Oueghlissi and Bert Scholtens, from HAL (2017)
Keywords: ESG performance; sovereign bond yield spreads.

The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020,
Jordan Barone, Alain P. Chaboud, Adam Copeland, Cullen Kavoussi, Frank M. Keane and Seth Searls, in Economic Policy Review (2023)
Keywords: sovereign bond markets; financial crisis; COVID-19

The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020,
Jordan Barone, Alain P. Chaboud, Adam Copeland, Cullen Kavoussi, Frank M. Keane and Seth Searls, from Federal Reserve Bank of New York (2022)
Keywords: sovereign bond markets; financial crisis; COVID-19

Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries,
Gunther Capelle-Blancard, Patricia Crifo, Marc-Arthur Diaye, Rim Oueghlissi and Bert Scholtens, from University of Paris Nanterre, EconomiX (2017)
Keywords: ESG performance, sovereign bond yield spreads.

Sovereign Bond Spreads in the EMU Peripheral Countries. The Role of the Outright Monetary Transactions,
Wojciech Grabowski and Ewa Stawasz, in Prague Economic Papers (2017)
Keywords: government bond yield spreads, sovereign debt crisis, OMT programme

Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis,
Halil Guler and Ismail Talasli, from University Library of Munich, Germany (2012)
Keywords: Sovereign spread, emerging markets, government bond spreads, market sentiment, fundementals.

Emerging market sovereign bond spreads: Estimation and back-testing,
Fabio Comelli, in Emerging Markets Review (2012)
Keywords: Emerging economies; Sovereign bond yield spreads; In-sample forecasts;

Sovereign bond ratings and market spreads. a dynamic panel analysis,
Davide Galati and Bruno Sitzia, from University Library of Munich, Germany (2000)
Keywords: Brady bonds; bond spreads; sovereign ratings; emerging markets

Euro area sovereign bond risk premia during the Covid-19 pandemic,
Stefano Corradin, Niklas Grimm and Bernd Schwaab, from European Central Bank (2021)
Keywords: ECB, event study, Kalman filter, sovereign bond yields

Euro area sovereign bond risk premia before and during the Covid-19 pandemic,
Stefano Corradin and Bernd Schwaab, in European Economic Review (2023)
Keywords: Sovereign bond yields; ECB; Kalman filter; Event study;

The credit signals that matter most for sovereign bond spreads with split rating,
Huong Vu, Rasha Alsakka and Owain ap Gwilym, in Journal of International Money and Finance (2015)
Keywords: Sovereign credit event; Ambiguity aversion; Split ratings; Bond spreads;

Impact of international and local conditions on sovereign bond spreads: International evidence,
Selma Izadi and M. Kabir Hassan, in Borsa Istanbul Review (2018)
Keywords: Global bond markets; Sovereign yield spreads; Macroeconomics fundamentals; Panel regressions

Determinants of bid-ask spread in emerging sovereign bond markets,
Emre Su and Kaya Tokmakçıoğlu, in Journal of Asset Management (2023)
Keywords: Bid-ask spread, Market liquidity, Emerging markets, Sovereign bond market

Time-varying integration in European post-transition sovereign bond market,
Petra Posedel Šimović, Marina Tkalec and Maruška Vizek, from The Institute of Economics, Zagreb (2015)
Keywords: European post-transition countries, sovereign securities markets, bond market integration

Searching high and low: Extremal dependence of international sovereign bond markets,
Bojan Basrak, Petra Posedel Šimović, Marina Tkalec and Maruška Vizek, from The Institute of Economics, Zagreb (2016)
Keywords: sovereign bond spreads, extreme value theory, tail dependence

Time-varying integration of the sovereign bond markets in European post-transition economies,
Petra Posedel Šimović, Marina Tkalec, Maruška Vizek and Junsoo Lee, in Journal of Empirical Finance (2016)
Keywords: European post-transition countries; Sovereign securities markets; Bond market integration;

TIME-VARYING INTEGRATION IN EUROPEAN POST-TRANSITION SOVEREIGN BOND MARKETS,
Marina Tkalec, from International Institute of Social and Economic Sciences (2015)
Keywords: European post-transition countries, sovereign securities markets, bond market integration

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries,
Samir Jahjah, Bin Wei and Zhanwei Yue, from University Library of Munich, Germany (2013)
Keywords: Sovereign Bond Spread, Exchange Rate Regime, Overvaluation, Debt Crisis

Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area,
Nikolaos Antonakakis, Christina Christou, Juncal Cuñado and Rangan Gupta, in Journal of International Financial Markets, Institutions and Money (2017)
Keywords: Sovereign bond yield spreads; Club convergence; Euro Area;

Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area,
Nikolaos Antonakakis, Christina Christou, Juncal Cuñado and Rangan Gupta, from University of Pretoria, Department of Economics (2016)
Keywords: Sovereign bond yield spreads, Club convergence, Euro Area

Resource Windfalls and Emerging Market Sovereign Bond Spreads: The Role of Political Institutions,
Rabah Arezki and Markus Brückner, from University of Adelaide, School of Economics and Public Policy (2011)
Keywords: commodity price shocks; sovereign bond spread; political institutions

Effect of Macroprudential Policies on Sovereign Bond Markets: Evidence from the ASEAN-4 Countries,
Joshua Aizenman, Gazi Uddin, Tianqi Luo, Ranadeva Jayasekera and Donghyun Park, from Asian Development Bank (2023)
Keywords: sovereign bond; prudential policy; risk networks; connectedness; ASEAN

Exchange rate risk and local currency sovereign bond yields in emerging markets,
Blaise Gadanecz, Ken Miyajima and Chang Shu, from Bank for International Settlements (2014)
Keywords: emerging markets, exchange rate risk, local currency sovereign bond yields

European sovereign bond spreads: monetary unification, market conditions and financial integration,
Dimitris Georgoutsos and Petros Migiakis, from Bank of Greece (2010)
Keywords: financial integration; sovereign bond spreads; near unit root; regime shifts

Emerging Market Sovereign Bond Spreads: Estimation and Back-testing,
Fabio Comelli, from International Monetary Fund (2012)
Keywords: WP;bond spread;emerging market sovereign bond;risk rating;bond Index;rating index; Emerging economies; sovereign bond yield spreads; in-sample forecasts; sample bond; regress bond; bond flow reversal; emerging market region; ICRG economic risk rating index; fitted sovereign bond; financial risk rating; Yield curve; Sovereign bonds; Emerging and frontier financial markets; Bond yields; Securities markets; Global; Africa; Asia and Pacific; Western Hemisphere

Geopolitical uncertainty and sovereign bond yields of BRICS economies,
Sowmya Subramaniam, in Studies in Economics and Finance (2021)
Keywords: Fixed income benchmarks, Geopolitical uncertainty, Sovereign bond yields, Dynamic Nelson Siegel model, E43, G12, G15

Sovereign Risk in International Bond Markets and Nonconvergence,
Volker Böhm and George Vachadze, from DEGIT, Dynamics, Economic Growth, and International Trade (2009)
Keywords: capital accumulation, sovereign risk, international bond markets, non convergence, symmetry-breaking

Sovereign bond yields in emerging Asia: New evidence,
Thi-Hong-Hanh Pham, from HAL (2014)
Keywords: Panel analysis,Debt market,Sovereign bond yields,Emerging Asia,Panel analysis.

Financial connectedness of BRICS and global sovereign bond markets,
Wasim Ahmad, Anil Mishra and Kevin J. Daly, in Emerging Markets Review (2018)
Keywords: BRICS; Emerging markets; Sovereign bond markets; Market linkages; Volatility spillover; Vector autoregression; Variance decomposition;

Sovereign bond return prediction with realized higher moments,
Harald Kinateder and Vassilios Papavassiliou, in Journal of International Financial Markets, Institutions and Money (2019)
Keywords: Sovereign bond markets; High-frequency data; Realized higher moments; Hyper-skewness; Hyper-kurtosis; Out-of-sample prediction;

On the term structure of liquidity in the European sovereign bond market,
O’Sullivan, Conall and Vassilios Papavassiliou, in Journal of Banking & Finance (2020)
Keywords: Microstructure; Liquidity; Eurozone debt crisis; Sovereign bond markets; Common factors; Liquidity premium;

Climate transition risk in sovereign bond markets,
Sierra Collender, Baoqing Gan, Christina S. Nikitopoulos, Kylie-Anne Richards and Laura Ryan, in Global Finance Journal (2023)
Keywords: Carbon dioxide; Climate transition risk; Natural resources rents; Renewables; Sovereign bond yields;

On the term structure of liquidity in the European sovereign bond market,
Conall O'Sullivan and Vassilios Papavassiliou, from Research Repository, University College Dublin (2020)
Keywords: Microstructure; Liquidity; Eurozone debt crisis; Sovereign bond markets; Common factors; Liquidity premium

Greek sovereign bond index, volatility, and structural breaks,
Go Tamakoshi and Shigeyuki Hamori, in Journal of Economics and Finance (2014)
Keywords: Volatility, Greek government bond, European sovereign debt crisis, Multiple structural break test, EGARCH, C50, F30, G15,

On Creditor Seniority and Sovereign Bond Prices in Europe,
Sven Steinkamp and Frank Westermann, from CESifo (2012)
Keywords: government bond spreads, Eurozone, senior tranche lending, multiple equilibria, sovereign debt crisis, Target2

Spillover in Euro Area Sovereign Bond Markets,
Thomas Conefrey and David Cronin, from Central Bank of Ireland (2013)
Keywords: Spillover index; forecast error variance decomposition; euro area sovereign bond markets; financial stability

Revisiting The Determinants Of Sovereign Bond Yield Volatility,
Carlos Alberto Piscarreta Pinto Ferreira, from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa (2022)
Keywords: Volatility, Bond Market, Public Debt, Sovereign Risk, Panel Data, Fixed Effects

Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies,
Serkan Arslanalp and Tigran Poghosyan, from International Monetary Fund (2014)
Keywords: WP;sovereign bond bond yield;bond yield;sovereign bond;debt; Government bond yields; investor base; interest rate determinants; debt share; government bond bond yield; debt ratio; benchmark bond yield; FIB variable; forward rate; short-term bond yield; debt composition; yields in a panel; government debt holding; Bond yields; Yield curve; Sovereign bonds; Global

Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News,
Peter Claeys and Bořek Vašíček, from Czech National Bank (2012)
Keywords: Contagion, eurozone, FAVAR, financial crisis, fiscal policy, sovereign bond spreads, sovereign ratings, spillover.

Sovereign bond and CDS market contagion: A story from the Eurozone crisis,
Georgios Bampinas, Theodore Panagiotidis and Panagiotis N. Politsidis, in Journal of International Money and Finance (2023)
Keywords: Sovereign bond market; Sovereign CDS market; Nonlinear dependence; Contagion; Local Gaussian correlation;

Sovereign bond and CDS market contagion: A story from the Eurozone crisis,
Georgios Bampinas, Theodore Panagiotidis and Panagiotis N. Politsidis, from Rimini Centre for Economic Analysis (2023)
Keywords: sovereign bond market, sovereign CDS market, nonlinear dependence, contagion, local Gaussian correlation

Sovereign bond and CDS market contagion: A story from the Eurozone crisis,
Georgios Bampinas, Theodore Panagiotidis and Panagiotis Politsidis, from University Library of Munich, Germany (2020)
Keywords: sovereign bond market, sovereign CDS market, nonlinear dependence, contagion, local Gaussian correlation

Sovereign bond market integration: the euro, trading platforms and globalisation,
Guntram Wolff and Alexander Schulz, from Directorate General Economic and Financial Affairs (DG ECFIN), European Commission (2008)
Keywords: sovereign bond market, bond market integration, EMU, electronic trading, euro, globalisation, Wolff, Schulz

Corporate Yields: Effect of Credit Ratings and Sovereign Yields,
Galina Hale, Julia Bevilaqua and Eric Tallman, from C.E.P.R. Discussion Papers (2020)
Keywords: Bond; Rating; Sovereign

What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?,
Niko Dötz and Christoph Fischer, from Deutsche Bundesbank (2010)
Keywords: Sovereign bond spread, GARCH-in-mean, default probability

Sovereign ESG Bond Issuance: A Guidance Note for Sovereign Debt Managers,
Peter Lindner and Kay Chung, from International Monetary Fund (2023)
Keywords: Bond issuance; Climate finance; ESG bonds; Green bonds; Public Financial Management; Social bonds; Sovereign debt management; Sustainable finance; Sustainability-linked bonds; ESG bond; ESG debt; ESG-focused investor; topology of ESG; Bonds; Corporate social responsibility; Sovereign bonds; Global

Managing sovereign credit risk in bond portfolios,
Benjamin Bruder, Pierre Hereil and Thierry Roncalli, from University Library of Munich, Germany (2011)
Keywords: sovereign credit risk, credit spread, convex risk measure, sabr model, CDS, bond indices, fundamental indexation, risk-based indexation, risk budgeting

A retrospective look at sovereign bond dynamics in the euro area,
Daniel Monteiro and Bořek Vašíček, in Quarterly Report on the Euro Area (QREA) (2019)
Keywords: Euro area economy, Sovereign bond dynamics, Capital Markets Union, flight to safety, flight to liquidity, convergence, resilience, unconventional monetary policy

Liquidity Issues in Indian Sovereign Bond Market,
Golaka Nath, from University Library of Munich, Germany (2013)
Keywords: liquidity, liquidity premium, bond yield, Indian Sovereign Bonds, Impact Cost, Turnover Ratio, NDS-OM, Liquidity Adjustment Facility

Private Bond Restructurings: Lessons for the Case of Sovereign Debtors,
Marco Piñón-Farah, from International Monetary Fund (1996)
Keywords: WP;exchange offer;bondholder;debt;bond;company; bond exchange offers; adverse selection; seaman furniture Co; holdout bondholder; targeted bondholders class; bond issue; bondholder committee; fixed interest rate; market value; Bonds; Corporate bonds; Sovereign bonds; Common stocks; Debt restructuring

Sovereign credit ratings and bond yield spreads in emerging markets,
Saji Thazhugal Govindan Nair, in Journal of Financial Economic Policy (2019)
Keywords: Sovereign ratings, Macroeconomics, Bond yield spread, Macroeconomics and monetary economics, Debt, Bond interest rates, Econometric modelling, C21, F41, G12, G24

Spillovers from U.S. Monetary Policy Normalization on Brazil and Mexico’s Sovereign Bond Yields,
Carlos Góes, Herman Kamil, Phil De Imus, Mercedes Garcia-Escribano, Roberto Perrelli, Shaun Roache and Jeremy Zook, from International Monetary Fund (2017)
Keywords: WP;yield;Treasury yield;Treasury;bond yield; QE; tapering; local-currency sovereign bond yields; vector error correction models; sovereign bond bond yield; yield shock; sovereign bond yield; local-currency sovereign bond bond yield; Bond yields; Yield curve; Sovereign bonds; Central bank policy rate; Securities markets; Global