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

Working Papers

2019

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

2018

4. 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)
5. 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)
6. 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

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

2015

9. 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

10. 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

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

2012

12. 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

13. Repo Market Microstructure in Unusual Monetary Policy Conditions
    Research Technical Papers, Central Bank of Ireland View citations (8)
14. The Value Relevance of Sentiment
    Research Technical Papers, Central Bank of Ireland

2008

15. 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

16. Benchmark status in fixed-income asset markets
    Post-Print, HAL View citations (16)
    See also Journal Article in Journal of Business Finance & Accounting (2007)
17. 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

18. 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

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

2002

20. 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

21. 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 Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy
   Intereconomics: Review of European Economic Policy, 2019, 54, (4), 250-258
2. 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)
3. 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)
4. 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

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

2011

8. 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

9. International order flows: Explaining equity and exchange rate returns
   Journal of International Money and Finance, 2010, 29, (2), 358-386 View citations (34)

2008

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

2007

11. 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)
12. 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

13. 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

14. 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

15. 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