Refine
Year of publication
- 2013 (1)
Document Type
- Working Paper (1)
Language
- English (1)
Has Fulltext
- yes (1)
Is part of the Bibliography
- no (1)
Keywords
- Corporate bonds (1)
- Risk-premium (1)
- Sovereign debt crisis (1)
- Too big to fail (1)
Institute
- Center for Financial Studies (CFS) (1) (remove)
We provide an assessment of the determinants of the risk remia paid by non-financial corporations on long-term bonds. By looking at 5,500 issues over the period 2005-2012, we find that in recent years the sovereign debt market turbulence has been a major driver of corporate risk. Compared with the three-year period 2005-07 before the global financial crisis, in the years 2010-12 Italian, Spanish and Portuguese firms paid on average between 70 and 120 basis points of additional premium due to the negative spillovers from the sovereign debt crisis, while German firms got a discount of 40 basis points.