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Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*

  • Published:2013-11-16 Issue:6 Volume:18 Page:2103-2151
  • ISSN:1573-692X
  • Container-title:Review of Finance
  • language:en
  • Short-container-title:

Author:

Monfort Alain1,Renne Jean-Paul1

Affiliation:

1. CREST, Banque de France and Maastricht University and 2Banque de France

Publisher

Oxford University Press (OUP)

Subject

Finance,Economics and Econometrics,Accounting

Reference88 articles.

1. Asset pricing with liquidity risk;Acharya;Journal of Financial Economics,2005

2. Testing continuous-time models of the spot interest rate;Aït-Sahalia;Review of Financial Studies,1996

3. Credit spread interdependencies of European states and banks during the financial crisis;Alter;Journal of Banking & Finance,2012

4. Regime switches in interest rates;Ang;Journal of Business & Economic Statistics,2002

5. The term structure of real rates and expected inflation;Ang;Journal of Finance,2008

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