Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis

摘要: Abstract The paper analyzes the integration of euro area sovereign bond markets during European debt crisis. It tests for contagion (i.e., an intensification in transmission shocks across countries), fragmentation (a reduction spillovers) and flight-to-quality patterns, exploiting heteroskedasticity intraday changes yields identification. finds that government were well integrated prior to crisis, but saw a substantial from 2010 onward. Flight quality was present at height has largely dissipated after Central Bank's (ECB's) announcement its Outright Monetary Transactions (OMT) program 2012. At same time, Italy Spain became more interdependent OMT announcement, providing our only evidence contagion. This suggests countries have been effectively ring-fenced, benefited joint following announcement.