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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 2019-10-09. Update your information in the RePEc Author Service.

Short-id: pdu13


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Working Papers

2019

  1. Have Irish sovereign bonds decoupled from the euro area periphery, and why?
    Papers, Economic and Social Research Institute (ESRI) Downloads
  2. Monetary Policy and Money Market Funds
    Economic Letters, Central Bank of Ireland Downloads
  3. Money Market Funds and Unconventional Monetary Policy
    Research Technical Papers, Central Bank of Ireland Downloads View citations (1)

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 in Journal of International Money and Finance (2019)
  2. Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
    Research Technical Papers, Central Bank of Ireland Downloads
    Also in ESRB Working Paper Series, European Systemic Risk Board (2018) Downloads

    See also Journal Article in Journal of Risk and Financial Management (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 in Journal of Empirical Finance (2019)

2017

  1. Investment Fund Risk: The Tale in the Tails
    Research Technical Papers, Central Bank of Ireland Downloads View citations (2)
  2. The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme
    Research Technical Papers, Central Bank of Ireland Downloads View citations (4)

2015

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

2014

  1. ECB Monetary Operations and the Interbank Repo Market
    Research Technical Papers, Central Bank of Ireland Downloads View citations (2)
    Also in Staff Reports, Federal Reserve Bank of New York (2013) Downloads View citations (5)

2013

  1. Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?
    Research Technical Papers, Central Bank of Ireland Downloads View citations (12)

2012

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

2011

  1. Repo Market Microstructure in Unusual Monetary Policy Conditions
    Research Technical Papers, Central Bank of Ireland Downloads View citations (8)
  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 (18)

2007

  1. Benchmark status in fixed-income asset markets
    Post-Print, HAL View citations (16)
    See also Journal Article in Journal of Business Finance & Accounting (2007)
  2. Transparency Proposals for European Sovereign Bond Markets
    ECMI Papers, Centre for European Policy Studies Downloads View citations (2)
    See also Journal Article in Journal of Financial Regulation and Compliance (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 (3)

2004

  1. Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)

2002

  1. Defining Benchmark Status: An Application using Euro-Area Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (18)

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 Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy
    Intereconomics: Review of European Economic Policy, 2019, 54, (4), 250-258 Downloads
  2. 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 (1)
    See also Working Paper (2018)
  3. Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
    Journal of Risk and Financial Management, 2019, 12, (2), 1-25 Downloads View citations (1)
    See also Working Paper (2018)
  4. Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment
    Journal of Empirical Finance, 2019, 53, (C), 33-52 Downloads
    See also Working Paper (2018)

2015

  1. DEALER INTERMEDIATION BETWEEN MARKETS
    Journal of the European Economic Association, 2015, 13, (5), 770-804 Downloads View citations (12)
    See also Working Paper (2012)
  2. Price discovery in the dual-platform US Treasury market
    Global Finance Journal, 2015, 28, (C), 95-110 Downloads
    See also Working Paper (2015)
  3. The Expanded Asset Purchase Programme – What, Why and How of Euro Area QE
    Quarterly Bulletin Articles, 2015, 61-71 Downloads View citations (7)

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 (1)

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 (34)

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 (40)
    Also in Journal of Business Finance & Accounting, 2007, 34, (9‐10), 1615-1634 (2007) Downloads

    See also Working Paper (2007)
  2. Transparency proposals for European sovereign bond markets
    Journal of Financial Regulation and Compliance, 2007, 15, (2), 186-198 Downloads View citations (2)
    See also Working Paper (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 (5)

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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