The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the corporate sector across the euro area. Our sample of 828 bond issues suggests that integration of the primary euro-denominated bond market is complete; there is...

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...