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IMF-欧元区金融碎片化与债券市场稳定（英）-2025.9.pdfVIP

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IMF-欧元区金融碎片化与债券市场稳定（英）-2025.9.pdf

    EuroAreaFinancial

    FragmentationandBond

    MarketStability

    BenjaminMoskandNanderdeVette

    WP/25/194

    IMFWorkingPapersdescriberesearchin

    progressbytheauthor(s)andarepublishedto

    elicitcommentsandtoencouragedebate.

    TheviewsexpressedinIMFWorkingPapersare

    thoseoftheauthor(s)anddonotnecessarily

    representtheviewsoftheIMF,itsExecutiveBoard,

    orIMFmanagement.

    2025

    SEP

    ©2025InternationalMonetaryFundWP/25/194

    IMFWorkingPaper

    MonetaryandCapitalMarketsDepartment

    EuroAreaFinancialFragmentationandBondMarketStability

    PreparedbyBenjaminMoskandNanderdeVette*

    AuthorizedfordistributionbyJasonWu

    September2025

    IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicit

    commentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseofthe

    author(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.

    ABSTRACT:Thispaperinvestigatesthephenomenonoffinancialfragmentationwithintheeuroareaand

    focusesonitsimplicationsforbondmarketstability.Athree-stepapproachisusedtoassessthesensitivityof

    creditriskpremiumstoidentifiedglobalriskshocks,distinguishingbetweenregimesofhigherandlower

    fragmentation.First,atime-varyingindicatorofeuroareafinancialfragmentationisconstructedonthebasisof

    aprincipalcomponentanalysisofsovereignyieldchanges.Theindicatorreflectstheextenttowhichyields

    acrossdifferentcountrygroupings—oftencharacterizedbydifferingstructuralandfinancialmarketconditions—

    moveinoppo

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