Details about Peter Dunne
Access statistics for papers by Peter Dunne.
Last updated 2019-10-09. Update your information in the RePEc Author Service.
Short-id: pdu13
Jump to Journal Articles
Working Papers
2019
- Have Irish sovereign bonds decoupled from the euro area periphery, and why?
Papers, Economic and Social Research Institute (ESRI)
- Monetary Policy and Money Market Funds
Economic Letters, Central Bank of Ireland
- Money Market Funds and Unconventional Monetary Policy
Research Technical Papers, Central Bank of Ireland View citations (1)
2018
- How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device
Research Technical Papers, Central Bank of Ireland 
Also in ESRB Working Paper Series, European Systemic Risk Board (2018) 
See also Journal Article in Journal of International Money and Finance (2019)
- Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
Research Technical Papers, Central Bank of Ireland 
Also in ESRB Working Paper Series, European Systemic Risk Board (2018) 
See also Journal Article in Journal of Risk and Financial Management (2019)
- Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment
Research Technical Papers, Central Bank of Ireland View citations (1)
Also in ESRB Working Paper Series, European Systemic Risk Board (2018) View citations (2)
See also Journal Article in Journal of Empirical Finance (2019)
2017
- Investment Fund Risk: The Tale in the Tails
Research Technical Papers, Central Bank of Ireland View citations (2)
- The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme
Research Technical Papers, Central Bank of Ireland View citations (4)
2015
- Price Discovery in the Dual-Platform US Treasury Market
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article in Global Finance Journal (2015)
2014
- ECB Monetary Operations and the Interbank Repo Market
Research Technical Papers, Central Bank of Ireland View citations (2)
Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (5)
2013
- Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?
Research Technical Papers, Central Bank of Ireland View citations (12)
2012
- Dealer Intermediation between Markets
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
See also Journal Article in Journal of the European Economic Association (2015)
2011
- Repo Market Microstructure in Unusual Monetary Policy Conditions
Research Technical Papers, Central Bank of Ireland View citations (8)
- The Value Relevance of Sentiment
Research Technical Papers, Central Bank of Ireland
2008
- A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
2007
- Benchmark status in fixed-income asset markets
Post-Print, HAL View citations (16)
See also Journal Article in Journal of Business Finance & Accounting (2007)
- Transparency Proposals for European Sovereign Bond Markets
ECMI Papers, Centre for European Policy Studies View citations (2)
See also Journal Article in Journal of Financial Regulation and Compliance (2007)
2006
- An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets
Research Technical Papers, Central Bank of Ireland View citations (3)
2004
- Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
2002
- Defining Benchmark Status: An Application using Euro-Area Bonds
NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (18)
1998
- 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
Journal Articles
2019
- Have Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy
Intereconomics: Review of European Economic Policy, 2019, 54, (4), 250-258
- How effective are sovereign bond-backed securities as a spillover prevention device?
Journal of International Money and Finance, 2019, 96, (C), 49-66 View citations (1)
See also Working Paper (2018)
- Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
Journal of Risk and Financial Management, 2019, 12, (2), 1-25 View citations (1)
See also Working Paper (2018)
- Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment
Journal of Empirical Finance, 2019, 53, (C), 33-52 
See also Working Paper (2018)
2015
- DEALER INTERMEDIATION BETWEEN MARKETS
Journal of the European Economic Association, 2015, 13, (5), 770-804 View citations (12)
See also Working Paper (2012)
- Price discovery in the dual-platform US Treasury market
Global Finance Journal, 2015, 28, (C), 95-110 
See also Working Paper (2015)
- The Expanded Asset Purchase Programme – What, Why and How of Euro Area QE
Quarterly Bulletin Articles, 2015, 61-71 View citations (7)
2011
- Commonality in returns, order flows, and liquidity in the Greek stock market
The European Journal of Finance, 2011, 17, (7), 577-587 View citations (1)
2010
- International order flows: Explaining equity and exchange rate returns
Journal of International Money and Finance, 2010, 29, (2), 358-386 View citations (34)
2008
- The market response to information quality shocks: the case of Enron
Applied Financial Economics, 2008, 18, (13), 1051-1066 View citations (2)
2007
- Benchmark Status in Fixed-Income Asset Markets
Journal of Business Finance & Accounting, 2007, 34, (9-10), 1615-1634 View citations (40)
Also in Journal of Business Finance & Accounting, 2007, 34, (9‐10), 1615-1634 (2007) 
See also Working Paper (2007)
- Transparency proposals for European sovereign bond markets
Journal of Financial Regulation and Compliance, 2007, 15, (2), 186-198 View citations (2)
See also Working Paper (2007)
2000
- 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
1999
- 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 View citations (5)
1994
- 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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