摘要：This paper analyses the determinants of euro area non-financial corporate bonds since theearly 2000s, so as to gauge deviations from the law of one price. We decompose the spread betweenthe yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund ofsimilar maturity into country, credit and duration risk premia components via dummy regressions.We highlight three main findings. First, the initial phase of the financial crisis (2008–2009) caused anoverall increase in credit risk premia. Since the beginning of 2013 credit risk premia are back to levelscomparable to those preceding the financial crisis. Second, at the height of the euro area sovereigncrisis (2011–2012), high credit risk premia were accompanied by strong and persistent signs of marketfragmentation in Italy and Spain (but not in France). This fragmentation has reached its peak in thesecond half of 2012 and has started to recede only after the announcement of the OMT. Third, weprovide a simple measure of financial integration across the big 4 member states of the euro area.
关键词：financial integration; credit risk; country premia; fragmentation index
