Decomposition of the dynamics of sovereign yield spreads in the euro area
分析了欧元区主权债券市场在金融危机和主权债务危机期间的变化，通过宏观金融模型分解主权风险溢价，发现基本面冲击是主要驱动因素，但非基本面冲击（如重计价风险）在危机期间影响显著，且到2015年初已大幅下降。
The article analyses developments in euro area sovereign bond markets observed during the financial and sovereign debt crises. Not only governments, but also banks, households and non-financial corporations were affected by the sovereign debt crisis. Regarding the private non financial sector in particular, the increased sovereign risk premiums resulted in temporarily higher bank lending margins from 2009 onwards in Belgium, Italy and Spain. By resorting to a macrofinancial modelling approach to decompose these sovereign risk premiums, it appears that fundamental economic shocks are the main drivers of sovereign premiums, although non fundamental shocks were particularly large during the sovereign debt crisis and stemmed mainly from redenomination risk. The significance of non-fundamental components of sovereign premiums nevertheless seemed to have dropped to very low levels by the beginning of 2015, partly due to the (unconventional) monetary policy measures adopted by the ECB (e.g. the announcement of the OMT programme and the expanded APP). However, sovereign premiums are still significant in the euro area periphery (notably in Italy and Spain) and seem to be explained largely by fundamental factors.