Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2010
We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that … through its interaction with the size and structure of national banking sectors. When aggregate risk increases, countries with … large banking sectors and low equity ratios in the banking sector experience greater widening in yield spreads, suggesting …