What drives spreads in the euro area government bond market?
研究欧元区政府债券收益率利差与短期利率的关系，发现利差包含显著的违约风险和流动性风险成分，且与市场流动性、经济周期和投资者风险承担激励相关。
Spreads between euro area government bond yields are related to short-term interest rates, which are in turn related to market liquidity, to cyclical conditions, and to investors’ incentives to take risk. In theory, lower interest rates are associated with lower degrees of risk aversion and smaller government bond spreads. Empirically, the Eurosystem’s short-term interest rates are positively related to those spreads, which our econometric model finds to include significant and policy-relevant default risk and liquidity risk components.— Simone Manganelli and Guido Wolswijk