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Details about Peter Dunne

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Workplace:Central Bank of Ireland, (more information at EDIRC)

Access statistics for papers by Peter Dunne.

Last updated 2023-05-09. Update your information in the RePEc Author Service.

Short-id: pdu13


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Working Papers

2023

  1. Financial fragility in open-ended mutual funds: the role of liquidity management tools
    ESRB Working Paper Series, European Systemic Risk Board Downloads View citations (4)
  2. Irish-Resident LDI Funds and the 2022 Gilt Market Crisis
    Financial Stability Notes, Central Bank of Ireland Downloads

2022

  1. Did Public Debt Assets Improve the Resilience of Money Market Funds during the COVID-19 Crisis?
    Financial Stability Notes, Central Bank of Ireland Downloads
  2. Do redemptions increase as money market funds approach regulatory liquidity thresholds?
    Research Technical Papers, Central Bank of Ireland Downloads View citations (1)

2019

  1. Have Irish sovereign bonds decoupled from the euro area periphery, and why?
    Papers, Economic and Social Research Institute (ESRI) Downloads View citations (5)
    See also Journal Article Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?, The Economic and Social Review, Economic and Social Studies (2019) Downloads View citations (5) (2019)
  2. Liquidity and tail-risk interdependencies in the euro area sovereign bond market
    Research Technical Papers, Central Bank of Ireland Downloads View citations (3)
    Also in Working Papers, European Stability Mechanism (2019) Downloads View citations (3)
  3. Monetary Policy and Money Market Funds
    Economic Letters, Central Bank of Ireland Downloads View citations (2)
  4. Money Market Funds and Unconventional Monetary Policy
    Research Technical Papers, Central Bank of Ireland Downloads View citations (4)

2018

  1. How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device
    Research Technical Papers, Central Bank of Ireland Downloads
    Also in ESRB Working Paper Series, European Systemic Risk Board (2018) Downloads

    See also Journal Article How effective are sovereign bond-backed securities as a spillover prevention device?, Journal of International Money and Finance, Elsevier (2019) Downloads View citations (9) (2019)
  2. Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
    Research Technical Papers, Central Bank of Ireland Downloads View citations (1)
    Also in ESRB Working Paper Series, European Systemic Risk Board (2018) Downloads View citations (1)

    See also Journal Article Positive Liquidity Spillovers from Sovereign Bond-Backed Securities, JRFM, MDPI (2019) Downloads View citations (5) (2019)
  3. Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment
    Research Technical Papers, Central Bank of Ireland Downloads View citations (1)
    Also in ESRB Working Paper Series, European Systemic Risk Board (2018) Downloads View citations (2)

    See also Journal Article Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment, Journal of Empirical Finance, Elsevier (2019) Downloads View citations (7) (2019)

2017

  1. Investment Fund Risk: The Tale in the Tails
    Research Technical Papers, Central Bank of Ireland Downloads View citations (7)
  2. The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme
    Research Technical Papers, Central Bank of Ireland Downloads View citations (9)
    See also Journal Article The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme, International Journal of Central Banking, International Journal of Central Banking (2019) Downloads View citations (2) (2019)

2015

  1. Price Discovery in the Dual-Platform US Treasury Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article Price discovery in the dual-platform US Treasury market, Global Finance Journal, Elsevier (2015) Downloads View citations (1) (2015)

2014

  1. ECB Monetary Operations and the Interbank Repo Market
    Research Technical Papers, Central Bank of Ireland Downloads View citations (3)
    Also in Staff Reports, Federal Reserve Bank of New York (2013) Downloads View citations (7)

2013

  1. Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?
    Research Technical Papers, Central Bank of Ireland Downloads View citations (15)

2012

  1. Dealer Intermediation between Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (4)
    See also Journal Article DEALER INTERMEDIATION BETWEEN MARKETS, Journal of the European Economic Association, European Economic Association (2015) Downloads View citations (27) (2015)

2011

  1. Repo Market Microstructure in Unusual Monetary Policy Conditions
    Research Technical Papers, Central Bank of Ireland Downloads View citations (9)
  2. The Value Relevance of Sentiment
    Research Technical Papers, Central Bank of Ireland Downloads

2008

  1. A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (19)

2007

  1. Benchmark status in fixed-income asset markets
    Post-Print, HAL View citations (46)
    Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2007) View citations (40)

    See also Journal Article Benchmark Status in Fixed‐Income Asset Markets, Journal of Business Finance & Accounting, Wiley Blackwell (2007) Downloads View citations (11) (2007)
  2. Transparency Proposals for European Sovereign Bond Markets
    ECMI Papers, Centre for European Policy Studies Downloads View citations (4)
    See also Journal Article Transparency proposals for European sovereign bond markets, Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited (2007) Downloads View citations (4) (2007)

2006

  1. An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets
    Research Technical Papers, Central Bank of Ireland Downloads View citations (4)

2004

  1. Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)

2003

  1. Africa's crises recent analysis of armed conflicts and natural disasters in Africa
    ILO Working Papers, International Labour Organization Downloads

2002

  1. Defining Benchmark Status: An Application using Euro-Area Bonds
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (29)

1998

  1. A New Bayesian Model of Market Microstructure=20 Behaviour Applied to the Market in Irish Government=20 Securities; Identification Happens!
    Finance, University Library of Munich, Germany Downloads

Journal Articles

2019

  1. Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?
    The Economic and Social Review, 2019, 50, (3), 529-556 Downloads View citations (5)
    See also Working Paper Have Irish sovereign bonds decoupled from the euro area periphery, and why?, Papers (2019) Downloads View citations (5) (2019)
  2. Have Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy
    Intereconomics: Review of European Economic Policy, 2019, 54, (4), 250-258 Downloads View citations (6)
  3. How effective are sovereign bond-backed securities as a spillover prevention device?
    Journal of International Money and Finance, 2019, 96, (C), 49-66 Downloads View citations (9)
    See also Working Paper How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device, Research Technical Papers (2018) Downloads (2018)
  4. Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
    JRFM, 2019, 12, (2), 1-25 Downloads View citations (5)
    See also Working Paper Positive Liquidity Spillovers from Sovereign Bond-Backed Securities, Research Technical Papers (2018) Downloads View citations (1) (2018)
  5. Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment
    Journal of Empirical Finance, 2019, 53, (C), 33-52 Downloads View citations (7)
    See also Working Paper Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment, Research Technical Papers (2018) Downloads View citations (1) (2018)
  6. The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme
    International Journal of Central Banking, 2019, 15, (5), 1-46 Downloads View citations (2)
    See also Working Paper The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme, Research Technical Papers (2017) Downloads View citations (9) (2017)

2015

  1. DEALER INTERMEDIATION BETWEEN MARKETS
    Journal of the European Economic Association, 2015, 13, (5), 770-804 Downloads View citations (27)
    See also Working Paper Dealer Intermediation between Markets, Swiss Finance Institute Research Paper Series (2012) Downloads View citations (4) (2012)
  2. Price discovery in the dual-platform US Treasury market
    Global Finance Journal, 2015, 28, (C), 95-110 Downloads View citations (1)
    See also Working Paper Price Discovery in the Dual-Platform US Treasury Market, MPRA Paper (2015) Downloads View citations (2) (2015)
  3. The Expanded Asset Purchase Programme – What, Why and How of Euro Area QE
    Quarterly Bulletin Articles, 2015, 61-71 Downloads View citations (9)

2011

  1. Commonality in returns, order flows, and liquidity in the Greek stock market
    The European Journal of Finance, 2011, 17, (7), 577-587 Downloads View citations (3)

2010

  1. International order flows: Explaining equity and exchange rate returns
    Journal of International Money and Finance, 2010, 29, (2), 358-386 Downloads View citations (42)

2008

  1. The market response to information quality shocks: the case of Enron
    Applied Financial Economics, 2008, 18, (13), 1051-1066 Downloads View citations (2)

2007

  1. Benchmark Status in Fixed‐Income Asset Markets
    Journal of Business Finance & Accounting, 2007, 34, (9‐10), 1615-1634 Downloads View citations (11)
    See also Working Paper Benchmark status in fixed-income asset markets, Post-Print (2007) View citations (46) (2007)
  2. Transparency proposals for European sovereign bond markets
    Journal of Financial Regulation and Compliance, 2007, 15, (2), 186-198 Downloads View citations (4)
    See also Working Paper Transparency Proposals for European Sovereign Bond Markets, ECMI Papers (2007) Downloads View citations (4) (2007)

2000

  1. A generalised Bayesian model of market microstructure behaviour applied to the market in Irish government securities
    International Review of Financial Analysis, 2000, 9, (4), 369-388 Downloads

1999

  1. Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application
    International Review of Financial Analysis, 1999, 8, (1), 35-52 Downloads View citations (11)

1994

  1. Market Making When the Order-Arrival Process Is the Result of Positive Feedback Training
    The Manchester School of Economic & Social Studies, 1994, 62, 79-92
 
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