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Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
CFS Working Paper Series No. 530
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
corporate bond market
Sovereign debt crisis
financial fragmentation
JEL: 
G32
G38
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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