Euro area government bonds - Fragmentation and contagion during the sovereign debt crisis

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• 作者：Michael Ehrmann^a ; ^{michael.ehrmann@ecb.europa.eu} ; Marcel Fratzscher^b ; ^{mfratzscher@diw.de}
• 关键词：F3 ; E5 ; G15
• 刊名：Journal of International Money and Finance
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：70
• 期：Complete
• 页码：26-44
• 全文大小：615 K
• 卷排序：70

文摘

We study the integration of sovereign bond markets during the European debt crisis. Bond markets saw a substantial fragmentation from 2010 onward. Flight to quality during the crisis largely disappeared after the ECB's OMT. This suggests that countries have been effectively ring-fenced. Italy and Spain jointly saw a reduction in yields after the OMT announcement.