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Davide Tomio

Personal Details

First Name:Davide
Middle Name:
Last Name:Tomio
Suffix:
RePEc Short-ID:pto533
[This author has chosen not to make the email address public]
http://www.davidetomio.com

Affiliation

Darden School of Business
University of Virginia

Charlottesville, Virginia (United States)
http://www.darden.virginia.edu/
RePEc:edi:sbvirus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
  2. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.

Articles

  1. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
  2. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1251-1274.
  3. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.

    Cited by:

    1. Angelo Ranaldo & Patrick Schaffner & Michalis Vasios, 2019. "Regulatory effects on short-term interest rates," Bank of England working papers 801, Bank of England.
    2. William Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2018. "The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area," IMF Working Papers 2018/258, International Monetary Fund.
    3. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    4. Arrata, William & Nguyen, Benoît & Rahmouni-Rousseau, Imène & Vari, Miklos, 2020. "The scarcity effect of QE on repo rates: Evidence from the euro area," Journal of Financial Economics, Elsevier, vol. 137(3), pages 837-856.

  2. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
    2. Fratzscher, Marcel & Rieth, Malte, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 23(4), pages 745-775.
    3. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    4. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2017. "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Review of Finance, European Finance Association, vol. 21(1), pages 363-385.
    5. Radde, Sören & Checherita-Westphal, Cristina & Cui, Wei, 2015. "Government bond liquidity and sovereign-bank interlinkages," SFB 649 Discussion Papers 2015-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Michael Ehrmann & Marcel Fratzscher, 2015. "Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis," Staff Working Papers 15-13, Bank of Canada.
    7. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    8. Abudy, Menachem Meni & Raviv, Alon, 2016. "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 58-69.
    9. Junttila, Juha & Nguyen, Vo Cao Sang, 2022. "Impacts of sovereign risk premium on bank profitability: Evidence from euro area," International Review of Financial Analysis, Elsevier, vol. 81(C).
    10. Paul Mizen & Veronica Veleanu, 2015. "On the Information Flow from Credit Derivatives to the Macroeconomy," Discussion Papers 2015/21, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    11. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    12. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.

Articles

  1. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.

    Cited by:

    1. Chen, Steven Shu-Hsiu, 2024. "Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds," Finance Research Letters, Elsevier, vol. 69(PB).
    2. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.

  2. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1251-1274.

    Cited by:

    1. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    2. Esma Nur Cinicioglu & Gül Huyugüzel Kışla & A. Özlem Önder & Y. Gülnur Muradoğlu, 2024. "The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1213-1254, March.
    3. Pancotto, Livia & ap Gwilym, Owain & Molyneux, Philip, 2023. "Deal! Market reactions to the agreement on the EU Covid-19 recovery fund," Journal of Financial Stability, Elsevier, vol. 67(C).
    4. Aymeric Ortmans & Fabien Tripier, 2020. "COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?," Working Papers 2020-11, CEPII research center.
    5. Segura, Anatoli & Villacorta, Alonso, 2023. "Firm-bank linkages and optimal policies after a rare disaster," Journal of Financial Economics, Elsevier, vol. 149(2), pages 296-322.
    6. Shafiullah, Muhammad & Senthilkumar, Arunachalam & Lucey, Brian M. & Naeem, Muhammad Abubakr, 2024. "Deciphering asymmetric spillovers in US industries: Insights from higher-order moments," Research in International Business and Finance, Elsevier, vol. 70(PA).
    7. Aktham Maghyereh & Hussein Abdoh, 2024. "Oil price uncertainly and sovereign credit risk in GCC countries: fresh evidence," International Economics and Economic Policy, Springer, vol. 21(2), pages 457-482, May.
    8. Anju Goswami & Pooja Malik, 2024. "Identifying Financial Performance Drivers in the Indian Banking Sector During the COVID-19 Crisis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(3), pages 667-719, September.
    9. Jiang, Cuixia & Gao, Haijing & Xu, Qifa, 2024. "China's risk contagion using the mixed-frequency macro-financial network," Economic Systems, Elsevier, vol. 48(4).
    10. Kryzanowski, Lawrence & Liu, Jinjing & Zhang, Jie, 2023. "Effect of COVID-19 on non-performing loans in China," Finance Research Letters, Elsevier, vol. 52(C).
    11. Cheng, Jiahui & Chang, Senfeng, 2025. "Rare disasters, local currency-denominated external debt and sovereign default risk," Economics Letters, Elsevier, vol. 250(C).
    12. Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2024. "The Fed takes on corporate credit risk: An analysis of the efficacy of the SMCCF," Journal of Monetary Economics, Elsevier, vol. 146(C).
    13. Ren, Yi-Shuai & Klein, Tony & Jiang, Yong & Liu, Pei-Zhi & Weber, Olaf, 2025. "Dynamic connectedness between crude oil futures and energy industrial bond credit spread: Evidence from China," Energy Economics, Elsevier, vol. 143(C).
    14. Pham, Son Duy & Nguyen, Thao Thac Thanh & Li, Xiao-Ming, 2024. "Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations," Global Finance Journal, Elsevier, vol. 59(C).
    15. Guglielmo Maria Caporale & Abdurrahman Nazif Çatık & Mohamad Husam Helmi & Coşkun Akdeniz & Ali İlhan, 2024. "Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(2), pages 529-558, May.
    16. Kang, Yong Joo & Park, Dojoon & Eom, Young Ho, 2024. "Global contagion of US COVID-19 panic news," Emerging Markets Review, Elsevier, vol. 59(C).
    17. Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
    18. Procasky, William J. & Yin, Anwen, 2023. "The impact of COVID-19 on the relative market efficiency and forecasting ability of credit derivative and equity markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    19. Georgios Chortareas & Apostolos G. Katsafados & Theodore Pelagidis & Chara Prassa, 2025. "Credit risk modelling within the euro area in the COVID‐19 period: Evidence from an ICAS framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1074-1105, April.
    20. Antonio Moreno & Steven Ongena & Alexia Ventula Veghazy & Alexander F. Wagner, 2024. "“Long GFC”? The global financial crisis, health care, and COVID‐19 deaths," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 865-891, April.
    21. Hasan, Iftekhar & Marra, Miriam & To, Thomas Y. & Wu, Eliza & Zhang, Gaiyan, 2023. "COVID-19 Pandemic and Global Corporate CDS Spreads," Journal of Banking & Finance, Elsevier, vol. 147(C).
    22. Jappelli, Ruggero & Pelizzon, Loriana & Plazzi, Alberto, 2021. "The core, the periphery, and the disaster: Corporate-sovereign nexus in COVID-19 times," SAFE Working Paper Series 331, Leibniz Institute for Financial Research SAFE.
    23. Paraskevi K. Salamaliki & Ioannis A. Venetis, 2024. "Fiscal Space and Policy Response to Financial Crises: Market Access and Deficit Concerns," Open Economies Review, Springer, vol. 35(2), pages 323-361, April.
    24. Fang, Yi & Shao, Zhiquan, 2022. "The Russia-Ukraine conflict and volatility risk of commodity markets," Finance Research Letters, Elsevier, vol. 50(C).
    25. Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    26. Lei, Zicheng & Petmezas, Dimitris & Rau, P. Raghavendra & Yang, Chen, 2025. "Local boy does good: The effect of CSR activities on firm value," Journal of Banking & Finance, Elsevier, vol. 173(C).
    27. Chan, Kam Fong & Chen, Zhuo & Wen, Yuanji & Xu, Tong, 2022. "COVID-19 vaccines and global stock markets," Finance Research Letters, Elsevier, vol. 47(PB).
    28. Reinhold Heinlein & Gabriella D. Legrenzi & Scott M. R. Mahadeo & Gabriella Deborah Legrenzi, 2024. "Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations," CESifo Working Paper Series 11019, CESifo.
    29. Greppmair, Stefan & Jank, Stephan & Smajlbegovic, Esad, 2023. "On the importance of fiscal space: Evidence from short sellers during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 147(C).
    30. Kanno, Masayasu, 2024. "Assessing the impact of the COVID-19 crisis on sovereign default risk," Research in International Business and Finance, Elsevier, vol. 68(C).
    31. Omrane Guedhami & April Knill & William Megginson & Lemma W. Senbet, 2023. "Economic impact of COVID-19 across national boundaries: The role of government responses," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 54(7), pages 1278-1297, September.
    32. Ozcan Ceylan, 2023. "Analysis of Dynamic Connectedness among Sovereign CDS Premia," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 9(1), pages 33-47, June.
    33. Xiaozhen Jing & Dezhong Xu & Bin Li & Tarlok Singh, 2024. "Does the U.S. extreme indicator matter in stock markets? International evidence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
    34. Anna Dubinova & Andre Lucas & Sean Telg, 2021. "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers 21-059/III, Tinbergen Institute.
    35. Li, Yi & Zhang, Wei & Urquhart, Andrew & Wang, Pengfei, 2022. "The role of media coverage in the bubble formation: Evidence from the Bitcoin market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    36. Zhou, Wenyu & Zhou, Yujun & Zaremba, Adam & Long, Huaigang, 2024. "Stock market reactions under the shadow of the COVID-19 pandemic: Evidence from China," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    37. Corradin, Stefano & Schwaab, Bernd, 2023. "Euro area sovereign bond risk premia before and during the Covid-19 pandemic," European Economic Review, Elsevier, vol. 153(C).
    38. Donghyun Kim & Mijin Ha & Sun-Yong Choi & Ji-Hun Yoon, 2025. "Pricing of Vulnerable Timer Options," Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 989-1014, February.
    39. Ding, Yan & Li, Changzheng & Ye, Sisi, 2025. "Transmission effects of real estate risk on municipal bond spreads," Finance Research Letters, Elsevier, vol. 78(C).

  3. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.

    Cited by:

    1. Lukas Handler & Rainer Jankowitsch, 2025. "Political uncertainty and sovereign bond markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 39(1), pages 47-97, March.
    2. Matteo Crosignani & Miguel Faria-e-Castro & Luis Fonseca, 2017. "The (Unintended?) Consequences of the Largest Liquidity Injection Ever," Working Papers 2017-039, Federal Reserve Bank of St. Louis.
    3. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide, 2025. "Central Bank–Driven Mispricing," Journal of Financial Economics, Elsevier, vol. 166(C).
    4. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
    5. Abbassi, Puriya & Bianchi, Michele Leonardo & Della Gatta, Daniela & Gallo, Raffaele & Gohlke, Hanna & Krause, Daniel & Miglietta, Arianna & Moller, Luca & Orben, Jens & Panzarino, Onofrio & Ruzzi, Da, 2024. "The German and Italian government bond markets: The role of banks versus non-banks," Technical Papers 12/2024, Deutsche Bundesbank.
    6. Daragh Clancy & Peter G. Dunne & Pasquale Filiani, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Working Papers 41, European Stability Mechanism.
    7. Kaldorf, Matthias & Röttger, Joost, 2023. "Convenient but risky government bonds," Discussion Papers 15/2023, Deutsche Bundesbank.
    8. Boudiaf, Ismael Alexander & Scheicher, Martin & Frieden, Immo, 2024. "The market liquidity of interest rate swaps," ESRB Working Paper Series 147, European Systemic Risk Board.
    9. Gino Cenedese & Angelo Ranaldo & Michalis Vasios, 2018. "OTC Premia," Working Papers on Finance 1818, University of St. Gallen, School of Finance, revised May 2019.
    10. Lee, Jieun, 2024. "Dollar and government bond liquidity: Evidence from Korea," Journal of International Economics, Elsevier, vol. 152(C).
    11. Avalos, Fernando & Mamatzakis, Emmanuel, 2023. "Is bank resilience affected by unconventional monetary policy in the Euro area?," Journal of International Money and Finance, Elsevier, vol. 130(C).
    12. Jean-Guillaume Sahuc & Eric Jondeau & Benoit Mojon, 2024. "Bank Rollover Risk and Liquidity Supply Regimes," Post-Print hal-04445236, HAL.
    13. Nicolas Afflatet, 2019. "Public Interest Payments and Bond Yields: A Panel Data Estimation for the Eurozone," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 109-117, January.
    14. Linas Jurksas & Hector Carcel, 2019. "Euro Area Government Bond Yield and Liquidity Dependence during different Monetary Policy Accommodation Phases," Bank of Lithuania Working Paper Series 60, Bank of Lithuania.
    15. Ballensiefen, Benedikt Fabian, 2025. "Collateral choice," CFR Working Papers 25-05, University of Cologne, Centre for Financial Research (CFR).
    16. Ana Fiorella Carvajal & Ricardo Bebczuk, 2024. "Liquidity In Corporate Markets," World Bank Publications - Reports 41408, The World Bank Group.
    17. Fernando Avalos & Emmanuel C Mamatzakis, 2018. "Euro area unconventional monetary policy and bank resilience," BIS Working Papers 754, Bank for International Settlements.
    18. Chunling Li & Khansa Pervaiz & Muhammad Asif Khan & Faheem Ur Rehman & Judit Oláh, 2019. "On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region," Sustainability, MDPI, vol. 11(23), pages 1-14, November.
    19. Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: can they reduce sovereign borrowing costs?," Working Paper Series 2162, European Central Bank.
    20. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    21. Chaumont, Gaston & Gordon, Grey & Sultanum, Bruno & Tobin, Elliot, 2024. "Sovereign debt and credit default swaps," Journal of International Economics, Elsevier, vol. 150(C).
    22. Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022. "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, vol. 59(PA).
    23. Saki Bigio & Galo Nuño & Juan Passadore, 2019. "A framework for debt-maturity management," Working Papers 1919, Banco de España.
    24. Haselmann, Rainer & Heider, Florian & Pelizzon, Loriana & Weber, Michael, 2025. "Key challenges for monetary policy," SAFE Policy Letters 106, Leibniz Institute for Financial Research SAFE.
    25. Deuskar, Prachi & Johnson, Timothy C., 2021. "Funding liquidity and market liquidity in government bonds," Journal of Banking & Finance, Elsevier, vol. 129(C).
    26. Corradin, Stefano & Grimm, Niklas & Schwaab, Bernd, 2021. "Euro area sovereign bond risk premia during the Covid-19 pandemic," Working Paper Series 2561, European Central Bank.
    27. Greenwood-Nimmo, Matthew & Huang, Jingong & Nguyen, Viet Hoang, 2019. "Financial sector bailouts, sovereign bailouts, and the transfer of credit risk," Journal of Financial Markets, Elsevier, vol. 42(C), pages 121-142.
    28. Dufour, Alfonso & Stancu, Andrei & Varotto, Simone, 2017. "The equity-like behaviour of sovereign bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 25-46.
    29. Vassilios G. Papavassilioua & Fan Dora Xiab, 2024. "Liquidity in the euro-area sovereign bond market during the “dash for cash” driven by the COVID-19 crisis," Working Papers 202406, Geary Institute, University College Dublin.
    30. Accominotti, Olivier & Albers, Thilo & Oosterlinck, Kim, 2021. "Selective Default Expectations," CEPR Discussion Papers 16474, C.E.P.R. Discussion Papers.
    31. Antoine Bouveret & Martin Haferkorn & Gaetano Marseglia & Onofrio Panzarino, 2022. "Flash crashes on sovereign bond markets – EU evidence," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 20, Bank of Italy, Directorate General for Markets and Payment System.
    32. Zhang, Mingxin & Lin, Min & Sun, Yanmei & Wu, Weixing, 2025. "Targeted monetary policy and household business credit access: Based on the credit asset pledge relending policy," Emerging Markets Review, Elsevier, vol. 66(C).
    33. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    34. Drakos, Anastasios & Moratis, Georgios, 2024. "The impact of COVID-19 on sovereign contagion," Journal of Financial Stability, Elsevier, vol. 70(C).
    35. Matthew Greenwood‐Nimmo & Viet Hoang Nguyen & Eliza Wu, 2021. "On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks," The Economic Record, The Economic Society of Australia, vol. 97(317), pages 285-309, June.
    36. Panagiotis Panagiotou & Xu Jiang & Angel Gavilan, 2023. "The determinants of liquidity commonality in the Euro-area sovereign bond market," The European Journal of Finance, Taylor & Francis Journals, vol. 29(10), pages 1144-1186, July.
    37. O’Sullivan, Conall & Papavassiliou, Vassilios G., 2020. "On the term structure of liquidity in the European sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 114(C).
    38. Cayirli, Omer & Aktas, Huseyin & Kayalidere, Koray, 2022. "A closer look into the behavior of emerging market sovereign spreads: State-dependent and asymmetric behaviors," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 522-548.
    39. Eisl, Alexander & Ochs, Christian & Staghøj, Jonas & Subrahmanyam, Marti G., 2022. "Sovereign issuers, incentives and liquidity: The case of the Danish sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 140(C).
    40. Arthur Rossi & Ernest Lecomte & Théophile Legrand & Benoît Nguyen, 2023. "French sovereign debt liquidity: main factors, recent developments and resilience during the Covid crisis [Déterminants, évolutions de la liquidité de la dette souveraine française et résilience au," Bulletin de la Banque de France, Banque de France, issue 246.
    41. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).
    42. Saki Bigio & Galo Nuño & Juan Passadore, 2023. "Debt-Maturity Management with Liquidity Costs," Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 119-190.
    43. Tsuruta, Masaru, 2020. "Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    44. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
    45. Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.
    46. O’Sullivan, Conall & Papavassiliou, Vassilios G. & Wafula, Ronald Wekesa & Boubaker, Sabri, 2024. "New insights into liquidity resiliency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    47. Roberto A. De Santis & Fédéric Holm‐Hadulla, 2020. "Flow Effects of Central Bank Asset Purchases on Sovereign Bond Prices: Evidence from a Natural Experiment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1467-1491, September.
    48. Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
    49. De Santis, Roberto A. & Holm-Hadulla, Fédéric, 2017. "Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment," Working Paper Series 2052, European Central Bank.
    50. Hong, Zhiwu & Niu, Linlin & Zhang, Chen, 2022. "Affine arbitrage-free yield net models with application to the euro debt crisis," Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
    51. Driessen, Joost & Nijman, Theodore E. & Simon, Zorka, 2022. "A simple approach to estimate long-term interest rates," SAFE Working Paper Series 238, Leibniz Institute for Financial Research SAFE, revised 2022.
    52. Tianyi Ma & Minghui Jiang & Xuchuan Yuan, 2020. "Cash Salary, Inside Equity, or Inside Debt?—The Determinants and Optimal Value of Compensation Structure in a Long-term Incentive Model of Banks," Sustainability, MDPI, vol. 12(2), pages 1-24, January.
    53. Hsieh, Tsung-Han & Li, Youwei & McKillop, Donal G. & Wu, Yuliang, 2018. "Liquidity skewness in the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 12-18.
    54. Kasinger, Johannes & Pelizzon, Loriana, 2018. "Financial stability in the EU: A case for micro data transparency," SAFE Policy Letters 67, Leibniz Institute for Financial Research SAFE.
    55. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    56. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
    57. Passadore, Juan & Xu, Yu, 2022. "Illiquidity in sovereign debt markets," Journal of International Economics, Elsevier, vol. 137(C).
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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (2) 2015-04-19 2018-09-24
  2. NEP-EEC: European Economics (2) 2015-04-19 2018-09-24
  3. NEP-MON: Monetary Economics (1) 2018-09-24

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