This paper measures fragmentation in the European interbank market. We document that, during the recent crisis, fragmentation in the interbank market has been, on average, higher in the peripheral countries than in the core ones and it has increased particularly during periods of financial...

This paper measures fragmentation in four European financial markets (interbank, sovereign debt, equity, and the CDS market for financial institutions) and develops a new measure of global fragmentation using these markets as inputs. We find that, during the recent crisis, fragmentation in the...

We analyse how the European Central Bank's purchases of corporate bonds under its Corporate Sector Purchase Programme (CSPP) affected the financing of Spanish non-financial firms. We first document that the announcement of the CSPP in March 2016 raised significantly the firms' propensity to...

We analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the European Monetary Union. The empirical analysis is based on the theoretical equivalence relation that should hold between the CDS...

We present a tentative estimate of a common risk free rate for the European Monetary Union countries from January 2004 to December 2010 using variables motivated by a theoretical portfolio selection model. In a first stage, we analyze the determinants of EMU sovereign yield spreads and find...

A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the...

In March 2016, the ECB announced the extension of the asset purchase programme (APP) to investment-grade bonds issued by non-financial corporations established in the euro area. Following the announcement of this new programme (known as the CSPP), there was a significant fall in the interest...