Measuring Financial Fragmentation in the Euro Area Corporate Bond Market

@inproceedings{Horny2018MeasuringFF,
  title={Measuring Financial Fragmentation in the Euro Area Corporate Bond Market},
  author={Guillaume Horny and Simone Manganelli and Beno{\^i}t Mojon},
  year={2018}
}
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… CONTINUE READING

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