Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128501
Authors: 
Zaghini, Andrea
Year of Publication: 
2016
Series/Report no.: 
CFS Working Paper Series 530
Abstract: 
We assess the degree of market fragmentation in the euro-area corporate bond market by disentangling the determinants of the risk premium paid on bonds at origination. By looking at over 2,400 bonds we are able to isolate the country-specific effects which are a suitable indicator of the market fragmentation. We find that, after peaking during the sovereign debt crisis, fragmentation shrank in 2013 and receded to pre-crisis levels only in 2014. However, the low level of estimated market fragmentation is coupled with a still high heterogeneity in actual bond yields, challenging the consistency of the new equilibrium.
Subjects: 
corporate bond market
Sovereign debt crisis
financial fragmentation
JEL: 
G32
G38
Document Type: 
Working Paper

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