Yield spreads on EMU government bonds
发现欧元区政府债券收益率利差受国际风险因素影响，意大利和西班牙债券更明显；流动性因素作用较小，违约风险虽小但重要，反映了市场对财政脆弱性的看法。
We provide evidence that the movements in yield differentials between euro zone government bonds explained by changes in international risk factors – as measured by banking and corporate risk premiums in the United States – are more pronounced for bonds issued by Italy and Spain. Liquidity factors play a smaller role, so policies meant to increase financial market efficiency do not appear sufficient to deliver a ‘seamless’ bond market in the euro area. The risk of default is a small but important component of yield differentials movements, which signal market perceptions of fiscal vulnerability, impose market discipline on national fiscal policies, and may be reduced only by further convergence in debt ratios.