Peter G. Dunne

Central Bank of Ireland

P.O. Box 559

Dame Street

Dublin , 2

Ireland

  • Central Bank of Ireland

SCHOLARLY PAPERS

22

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SSRN CITATIONS
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37

CROSSREF CITATIONS

88

Scholarly Papers (22)

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1.

Information Quality, Auditor Reputation and Capitalization Effects: The Legacy of Enron

Number of pages: 36 Posted: 06 Apr 2005
Peter G. Dunne, Haim Falk, John Forker and Ronan Powell
Central Bank of Ireland, The Technion, Israel Institute of Technology, Queen's University Management School and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 525 (67,075)
Citation 1

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Accounting information quality, Auditor reputation, Earnings-response-coefficients, Risk premium

2.

Price Discovery in the Dual-Platform US Treasury Market

Downloads 278 (138,452)

Price Discovery in the Dual-Platform US Treasury Market

Number of pages: 30 Posted: 11 Jan 2011 Last Revised: 19 Sep 2011
Peter G. Dunne, Youwei Li and Zhuowei Sun
Central Bank of Ireland, Hull University Business School and Queen's University Belfast - School of Management
Downloads 278 (137,776)
Citation 2

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Microstructure, Treasury Market, Bid-Ask Spread, Price Discovery

Price Discovery in the Dual-Platform US Treasury Market

Posted: 04 Feb 2011
Peter G. Dunne, Youwei Li and Zhuowei Sun
Central Bank of Ireland, Hull University Business School and Queen's University Belfast - School of Management

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Microstructure, Treasury Market, Bid-Ask Spread, Price Discovery

3.

Defining Benchmark Status: An Application Using Euro-Area Bonds

Downloads 261 (147,680)
Citation 4

Defining Benchmark Status: An Application Using Euro-Area Bonds

WBS Finance Group Research Paper No. 22
Number of pages: 51 Posted: 11 Jun 2002
Michael Moore, Peter G. Dunne and Richard Portes
University of Warwick - Warwick Business School, Central Bank of Ireland and London Business School - Department of Economics
Downloads 203 (187,715)

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Benchmark, euro government bonds, cointegration

Defining Benchmark Status: An Application Using Euro-Area Bonds

NBER Working Paper No. w9087
Number of pages: 51 Posted: 02 Aug 2002 Last Revised: 02 May 2021
Peter G. Dunne, Michael Moore and Richard Portes
Central Bank of Ireland, University of Warwick - Warwick Business School and London Business School - Department of Economics
Downloads 36 (554,791)

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Defining Benchmark Status: An Application Using Euro-Area Bonds

Number of pages: 53 Posted: 02 Jun 2003
Peter G. Dunne, Michael Moore and Richard Portes
Central Bank of Ireland, University of Warwick - Warwick Business School and London Business School - Department of Economics
Downloads 22 (646,609)
Citation 1
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Benchmark, euro government bonds, cointegration

4.

Transparency Proposals for European Sovereign Bond Markets

Number of pages: 25 Posted: 11 Jan 2007
Peter G. Dunne
Central Bank of Ireland
Downloads 257 (149,920)
Citation 1

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bond markets, transparency, MiFID

5.

A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market

Downloads 230 (167,041)
Citation 13

A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market

INSEAD Working Paper No. 2010/64/FIN, WBS Finance Group Research Paper No. 145
Number of pages: 53 Posted: 30 Aug 2010
Peter G. Dunne, Harald Hau and Michael Moore
Central Bank of Ireland, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Warwick - Warwick Business School
Downloads 144 (253,009)
Citation 3

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Dealer Intermediation, Spread Determination, Adverse Selection, Market Segmentation

A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market

WBS Finance Group Research Paper No. 117
Number of pages: 54 Posted: 14 Mar 2009
Peter G. Dunne, Harald Hau and Michael Moore
Central Bank of Ireland, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Warwick - Warwick Business School
Downloads 82 (375,390)
Citation 7

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Dealer Intermediation, Spread Determination, Adverse Selection, Market Segmentation

A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market

CEPR Discussion Paper No. DP6969
Number of pages: 48 Posted: 02 Dec 2008
Peter G. Dunne, Harald Hau and Michael Moore
Central Bank of Ireland, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Warwick - Warwick Business School
Downloads 4 (795,446)
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Adverse Selection, Dealer Intermediation, Market Segmentation, Spread Determination

6.

Investment Fund Risk: The Tale in the Tails

Number of pages: 34 Posted: 27 Jan 2017 Last Revised: 12 Feb 2017
Peter G. Dunne and Frances Shaw
Central Bank of Ireland and European Central Bank (ECB)
Downloads 193 (196,717)
Citation 1

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Investment Funds, Systemic Risk, Marginal Expected Shortfall

7.

The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme

Number of pages: 44 Posted: 28 Jun 2017
Giovanna Bua and Peter G. Dunne
European Central Bank (ECB) and Central Bank of Ireland
Downloads 176 (213,326)
Citation 6

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Quantitative Easing, Unconventional Monetary Policy, Portfolio Rebalancing

8.

Dealer Intermediation between Markets

Downloads 174 (215,411)
Citation 8

Dealer Intermediation between Markets

Swiss Finance Institute Research Paper No. 12-29, WBS Finance Group Research Paper No. 192
Number of pages: 46 Posted: 04 Sep 2012
Peter G. Dunne, Harald Hau and Michael Moore
Central Bank of Ireland, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Warwick - Warwick Business School
Downloads 115 (300,073)
Citation 9

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Dealer Intermediation, Spread Determination, Adverse Selection, Market Segmentation

Dealer Intermediation between Markets

WBS Finance Group Research Paper No. 155
Number of pages: 45 Posted: 20 Mar 2011
Michael Moore, Harald Hau and Peter G. Dunne
University of Warwick - Warwick Business School, University of Geneva - Geneva Finance Research Institute (GFRI) and Central Bank of Ireland
Downloads 59 (450,244)

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Dealer Intermediation, Spread Determination, Adverse Selection, Market Segmentation

9.

Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns

Downloads 167 (223,095)
Citation 3

Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns

WBS Finance Group Research Paper No. 35
Number of pages: 27 Posted: 06 Dec 2004
Peter G. Dunne, Harald Hau and Michael Moore
Central Bank of Ireland, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Warwick - Warwick Business School
Downloads 142 (255,892)
Citation 5

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International macroeconomics, equities, exchange rates, microstructure

Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns

Number of pages: 30 Posted: 04 Apr 2005
Peter G. Dunne, Harald Hau and Michael Moore
Central Bank of Ireland, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Warwick - Warwick Business School
Downloads 25 (624,148)
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International macroeconomics, equities, exchange rates, microstructure

10.

Formal Identification of Sentiment Effects in Asset Markets

Number of pages: 51 Posted: 22 Feb 2012
Peter G. Dunne, John Forker, Ronan Powell and Andrey Zholos
Central Bank of Ireland, Queen's University Management School, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Queen's University Management School
Downloads 139 (259,434)

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bubbles, fundamental valuation, sentiment, early warning indicators

11.

International Order Flows: Explaining Equity and Exchange Rate Returns

WBS Finance Group Research Paper No. 55
Number of pages: 34 Posted: 13 Mar 2006
Michael Moore, Peter G. Dunne and Harald Hau
University of Warwick - Warwick Business School, Central Bank of Ireland and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 126 (279,587)
Citation 1

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Market Interdependence, Heterogeneous Beliefs, Order Flow, Equity Return Parity

12.

ECB Monetary Operations and the Interbank Repo Market

FRB of New York Staff Report No. 654
Number of pages: 46 Posted: 11 Jan 2014
Peter G. Dunne, Michael J. Fleming and Andrey Zholos
Central Bank of Ireland, Federal Reserve Bank of New York and Queen's University Management School
Downloads 82 (371,798)
Citation 5

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repo, funding, liquidity, monetary policy, reserve management

13.

Positive Liquidity Spillovers from Sovereign Bond-Backed Securities

Downloads 52 (470,035)
Citation 3

Positive Liquidity Spillovers from Sovereign Bond-Backed Securities

Number of pages: 49 Posted: 12 Mar 2018
Peter G. Dunne
Central Bank of Ireland
Downloads 46 (504,370)
Citation 3

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Safe Assets, Securitisation, Dealer Behaviour, Liquidity Bid-Ask Spread

Positive Liquidity Spillovers from Sovereign Bond-Backed Securities

ESRB: Working Paper Series No. 2018/67
Number of pages: 55 Posted: 05 Nov 2020
Peter G. Dunne
Central Bank of Ireland
Downloads 6 (778,536)

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dealer behaviour, liquidity bid-ask spread, safe assets, securitisation

14.

Was the Securities Markets Programme Effective?

Number of pages: 36 Posted: 19 Sep 2013
David Doran, Peter G. Dunne, Allen Monks and Gerard O'Reilly
Central Bank of Ireland, Central Bank of Ireland, Central Bank of Ireland and Central Bank & Financial Services Authority of Ireland
Downloads 51 (474,128)

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Monetary policy, bond market interventions, Securities Markets Programme

15.

Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment

Downloads 50 (478,175)
Citation 1

Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment

Number of pages: 35 Posted: 09 Mar 2018
Maite de Sola, Peter G. Dunne, Martin Puhl and Thomas Reininger
National Bank of Belgium - Research Department, Central Bank of Ireland, Oesterreichishe Nationalbank and Österreichische Nationalbank
Downloads 40 (533,617)
Citation 1

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Safe Assets, Sovereign Bonds, Value-at-Risk, Spillover, CAViaR, Co-Dependence

Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment

ESRB: Working Paper Series No. 2018/65
Number of pages: 50 Posted: 05 Nov 2020
Maite de Sola, Peter G. Dunne, Martin Puhl and Thomas Reininger
National Bank of Belgium - Research Department, Central Bank of Ireland, Oesterreichische Nationalbank (OeNB) and Österreichische Nationalbank
Downloads 10 (744,117)

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CAViaR, co-dependence, safe assets, sovereign bonds, spillover, value-at-risk

16.

A Note on the Credit Risk Component of Yields on Irish Sovereign Bonds Issued in Foreign Currencies

Number of pages: 18 Posted: 23 Feb 2012 Last Revised: 19 Jul 2012
Eddie Casey and Peter G. Dunne
Central Bank of Ireland and Central Bank of Ireland
Downloads 50 (478,175)

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credit risk, bond yield spread, Irish sovereign yield, fiscal instability

17.

Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market

Downloads 49 (482,290)
Citation 1

Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market

European Stability Mechanism Working Paper No. 41
Number of pages: 60 Posted: 15 Nov 2019
Daragh Clancy, Peter G. Dunne and Pasquale Filiani
European Stability Mechanism, Central Bank of Ireland and Central Bank of Ireland
Downloads 37 (549,274)
Citation 2

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Liquidity; Tail risks; Feedback loops; Spillovers

Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market

Number of pages: 57 Posted: 04 Nov 2019
Daragh Clancy, Peter G. Dunne and Pasquale Filiani
European Stability Mechanism, Central Bank of Ireland and Central Bank of Ireland
Downloads 12 (727,238)

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Liquidity, Tail risks, Feedback loops, Spillovers

18.

How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device?

Downloads 48 (486,368)
Citation 3

How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device?

Number of pages: 20 Posted: 12 Mar 2018
David Cronin and Peter G. Dunne
Central Bank and Financial Services Authority of Ireland and Central Bank of Ireland
Downloads 44 (513,882)
Citation 3

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Safe Assets, Sovereign Bond Securitisation, Bank-Sovereign Diabolic Loop

How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device?

ESRB: Working Paper Series No. 2018/66
Number of pages: 55 Posted: 05 Nov 2020
David Cronin and Peter G. Dunne
Central Bank and Financial Services Authority of Ireland and Central Bank of Ireland
Downloads 4 (795,446)

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bond securitisation, safe assets, sovereign risk contagion

19.

Benchmark Status in Fixed-Income Asset Markets

Journal of Business Finance & Accounting, Vol. 34, Nos. 9-10, pp. 1615-1634, November/December 2007
Number of pages: 20 Posted: 11 Dec 2007
Peter G. Dunne, Michael J. Moore and Richard Portes
Central Bank of Ireland, affiliation not provided to SSRN and London Business School - Department of Economics
Downloads 16 (669,604)
Citation 3
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20.

Do Liquidity Limits Amplify Money Market Fund Redemptions During the COVID Crisis?

ESRB: Working Paper Series 2021/127
Number of pages: 41 Posted: 02 Oct 2021
Peter G. Dunne and Raffaele Giuliana
Central Bank of Ireland and Central Bank of Ireland
Downloads 5 (755,493)

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liquidity limits, money market funds

21.

The Effects of Forward Guidance: What Do We Learn from Staff Forecasts and Survey-Based Expectations?

Posted: 31 Mar 2015
Peter G. Dunne, Danielle Kedan, Gerard O'Reilly and Rebecca Stuart
Central Bank of Ireland, Independent, Central Bank & Financial Services Authority of Ireland and Central Bank of Ireland

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Forward Guidance

22.

Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

European Journal of Finance, Vol. 17, pp. 577-587, 2011, WBS Finance Group Research Paper No. 161
Posted: 10 Jun 2011 Last Revised: 26 Dec 2019
Michael Moore, Vassilios G. Papavassiliou and Peter G. Dunne
University of Warwick - Warwick Business School, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Central Bank of Ireland

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Market Microstructure, Common Factors, Order Flow, Liquidity