Details about Peter Dunne

Access statistics for papers by Peter Dunne.

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

Short-id: pdu13

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 View citations (5)
2. Irish-Resident LDI Funds and the 2022 Gilt Market Crisis
   Financial Stability Notes, Central Bank of Ireland

2022

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

2019

5. Have Irish sovereign bonds decoupled from the euro area periphery, and why?
   Papers, Economic and Social Research Institute (ESRI) 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) View citations (5) (2019)
6. Liquidity and tail-risk interdependencies in the euro area sovereign bond market
   Working Papers, European Stability Mechanism View citations (3)
   Also in Research Technical Papers, Central Bank of Ireland (2019) View citations (3)
7. Monetary Policy and Money Market Funds
   Economic Letters, Central Bank of Ireland View citations (2)
8. Money Market Funds and Unconventional Monetary Policy
   Research Technical Papers, Central Bank of Ireland View citations (4)

2018

9. 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 How effective are sovereign bond-backed securities as a spillover prevention device?, Journal of International Money and Finance, Elsevier (2019) View citations (9) (2019)
10. Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
    Research Technical Papers, Central Bank of Ireland View citations (1)
    Also in ESRB Working Paper Series, European Systemic Risk Board (2018) View citations (1)
    See also Journal Article Positive Liquidity Spillovers from Sovereign Bond-Backed Securities, JRFM, MDPI (2019) View citations (5) (2019)
11. 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 Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment, Journal of Empirical Finance, Elsevier (2019) View citations (7) (2019)

2017

12. Investment Fund Risk: The Tale in the Tails
    Research Technical Papers, Central Bank of Ireland View citations (7)
13. The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme
    Research Technical Papers, Central Bank of Ireland 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) View citations (2) (2019)

2015

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

2014

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

2013

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

2012

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

2011

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

2008

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

2007

21. 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) View citations (11) (2007)
22. Transparency Proposals for European Sovereign Bond Markets
    ECMI Papers, Centre for European Policy Studies 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) View citations (4) (2007)

2006

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

2004

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

2003

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

2002

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

1998

27. 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

1. Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?
   The Economic and Social Review, 2019, 50, (3), 529-556 View citations (5)
   See also Working Paper Have Irish sovereign bonds decoupled from the euro area periphery, and why?, Papers (2019) 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 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 View citations (9)
   See also Working Paper How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device, Research Technical Papers (2018) (2018)
4. Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
   JRFM, 2019, 12, (2), 1-25 View citations (5)
   See also Working Paper Positive Liquidity Spillovers from Sovereign Bond-Backed Securities, Research Technical Papers (2018) 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 View citations (7)
   See also Working Paper Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment, Research Technical Papers (2018) 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 View citations (2)
   See also Working Paper The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme, Research Technical Papers (2017) View citations (9) (2017)

2015

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

2011

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

2010

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

2008

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

2007

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

2000

15. 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

16. 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 (11)

1994

17. 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