Dewachter, Hans; Iania, Leonardo; Lyrio, Marco; de Sola … - In: Journal of Banking & Finance 50 (2015) C, pp. 308-325
We estimate the ‘fundamental’ component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that … economic fundamentals are the dominant drivers behind sovereign bond spreads. Nevertheless, shocks unrelated to the fundamental … component of the spread have played an important role in the dynamics of bond spreads since the intensification of the sovereign …