The dynamics of sovereign yields over swap rates in the Eurozone market

Author:

David-Pur Lior,Galil Koresh,Rosenboim Mosi

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Benchmark interest rates when the government is risky (No. w26429);Augustin;National Bureau of Economic Research,2019

2. Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market;Beber;The Review of Financial Studies,2008

3. Centralized trading, transparency, and interest rate swap market liquidity: Evidence from the implementation of the Dodd-Frank act;Benos,2016

4. An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps;Blanco;Journal of Finance,2005

5. On the term structure of default premia in the swap and LIBOR markets;Collin-Dufresne;The Journal of Finance,2001

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