Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?

Andrea Zaghini

No 530, CFS Working Paper Series from Center for Financial Studies (CFS)

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.

Keywords: corporate bond market; Sovereign debt crisis; financial fragmentation (search for similar items in EconPapers)
JEL-codes: G32 G38 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-cfn, nep-eec and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Journal Article: Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:530

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