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69. To minimize endogeneity concerns and to control for the impact of the multiple announcements on the same topic, we focus only on the key announcements as in Ait Sahalia et al. (2012). The approach is also consistent with empirical evidence in Bahaj (2014) who shows that only top 10% of events he identi…es contribute to 80-90% of the variance of the intra-day sovereign yield changes.
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70. We use block adaptive Random Walk Metropolis Hastings algorithm (Roberts and Rosenthal, 2009) for generating MCMC samples. The vector of unknown parameters is divided in three non-overlapping blocks. Let b denote the bth block of the parameters. The algorithm to construct chain of length M contains two main steps. Step 1: Draw a candidate vector of parameter values in block b, b, as: b = b + b, where b is the current state of the vector of parameter values in block b and b is a jump proposal vector sampled from the mixture of normal distributions de…ned below. 28 Alternatively, the steps can be repeated over the full sample, with no eect on the results.
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2. The design of a sovereign debt restructuring mechanism for the euro area: Choices and trade-offs. (2019). Heinemann, Friedrich ; DESTAIS, Christophe ; Eidam, Frederik.
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3. Domestic Banks as Lightning Rods? Home Bias and Information during the Eurozone Crisis. (2019). Saka, Orkun.
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4. The IFRS option to reclassify financial assets out of fair value in 2008: the roles played by regulatory capital and too-important-to-fail status. (2017). Landsman, Wayne R ; Fiechter, Peter ; Renders, Annelies ; Peasnell, Kenneth.
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30. Monetary Policy under the Microscope: Intra-bank Transmission of Asset Purchase Programs of the ECB. (2015). Koetter, Michael ; Cycon, Lisa .
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37. The Portuguese Banking System during the Sovereign Debt Crisis. (2015). Fonseca, Luís ; Faria-e-Castro, Miguel ; Crosignani, Matteo.
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49. Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystems LTROs.. (2015). Mésonnier, Jean-Stéphane ; fraisse, henri ; Cahn, Christophe ; Andrade, Philippe ; J-S. Mesonnier, .
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