Fragmentation and heterogeneity in the euro–area corporate bond market: back to normal?
- 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.
Author: | Andrea ZaghiniORCiDGND |
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URN: | urn:nbn:de:hebis:30:3-395775 |
Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 530 |
Series (Serial Number): | CFS working paper series (530) |
Publisher: | Center for Financial Studies |
Place of publication: | Frankfurt, M. |
Document Type: | Working Paper |
Language: | English |
Date of Publication (online): | 2016/02/19 |
Date of first Publication: | 2016/02/19 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2016/04/05 |
Tag: | corporate bond market; financial fragmentation; sovereign debt crisis |
Page Number: | 31 |
HeBIS-PPN: | 381122069 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |