In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS … developed methodology to data on major Eurozone sovereign borrowers and consider the most recent period of the Eurozone debt … interesting interaction effects between those components in terms of term structure. Treating the bond-CDS basis as a measure of …

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008-2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

There is a growing consensus that part of the surge in government bond spreads during the EMU debt crisis can be …

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …