مزایا و تقسیم اوراق قرضه کشور قابل مشاهده نیست

Using either yield-to-maturity spreads or asset swap spreads for 1900 Eurobonds across euro area non-financial industries, we estimate excess bond premia computed as the duration-adjusted credit spreads in excess of idiosyncratic risks and observable country risks. We find that financial market fragmentation, defined as the unobservable country risk heterogeneity, characterise the euro area corporate bond market. It increased sharply after Lehman’s bankruptcy and during the sovereign debt crisis, despite the model controls for sovereign risk, interbank credit risk and the US VIX. An important driver of fragmentation during the hikes of the sovereign debt crisis was a higher price for credit and macro risks demanded by investors in one country compared to another country. There is evidence that fragmentation risk reverted its trend after Draghi’s “whatever it takes” speech.