Artikel
Measuring financial fragmentation in the euro area corporate bond market
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar maturity into country, credit and duration risk premia components via dummy regressions. We highlight three main findings. First, the initial phase of the financial crisis (2008-2009) caused an overall increase in credit risk premia. Since the beginning of 2013 credit risk premia are back to levels comparable to those preceding the financial crisis. Second, at the height of the euro area sovereign crisis (2011-2012), high credit risk premia were accompanied by strong and persistent signs of market fragmentation in Italy and Spain (but not in France). This fragmentation has reached its peak in the second half of 2012 and has started to recede only after the announcement of the OMT. Third, we provide a simple measure of financial integration across the big 4 member states of the euro area.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 11 ; Year: 2018 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
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financial integration
credit risk
country premia
fragmentation index
- Event
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Geistige Schöpfung
- (who)
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Horny, Guillaume
Manganelli, Simone
Mojon, Benoît
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2018
- DOI
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doi:10.3390/jrfm11040074
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Horny, Guillaume
- Manganelli, Simone
- Mojon, Benoît
- MDPI
Time of origin
- 2018
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