We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v …) segmentation (convenience) premium. Iden- tification is achieved by considering sovereign bond yields jointly with other rates …

We investigate the synchronization of Eurozone's government bond yields at different maturities. For this purpose, we … results envisage synchronization as a requirement for the smooth transmission of conventional monetary policy in the Eurozone. …

Since the beginning of 2022, monetary policy in the euro area has been gradually normalizing. As a result, bond yields …, such as Germany, a development referred to as bond market fragmentation. To ensure the coherent effectiveness of monetary … disorderly; rising yields can be explained by a worsening of macroeconomic fundamentals and stricter general risk assessments …