欧元区金融碎片化与债券市场稳定

Euro Area FinancialFragmentation and BondMarket Stability Benjamin Mosk and Nander de Vette WP/25/194 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025SEP IMF Working Paper Euro Area Financial Fragmentation and Bond Market StabilityPrepared byBenjamin Mosk and Nander de Vette* Authorized for distributionbyJason WuSeptember2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:This paper investigates the phenomenon of financial fragmentation within the euro area andfocuses on its implications for bond market stability. A three-step approach is used to assess the sensitivity ofcredit risk premiums to identified global risk shocks, distinguishing between regimes of higher and lowerfragmentation. First, a time-varying indicator of euro area financial fragmentation is constructed on the basis ofa principal component analysis of sovereign yield changes.The indicator reflects theextent to which yieldsacross different country groupings—often characterized by differing structural and financial market conditions—move in opposite directions.Second, we construct a series of identified global risk shocks using a sign-restricted Bayesian vector auto-regression model applied to a set of financial market variables. Third, weassess bond market stability/fragility in terms of the responsiveness ofcredit risk premiums to global riskshocks, using a non-linear panel local projections method, distinguishing between regimes of higher and lowerfragmentation. We find that during times of elevated fragmentation, both sovereign CDS premiums andcorporate option-adjusted spreads react more strongly to a given global risk shock. This elevated sensitivityappears across both country groupings, suggesting that in the higher-fragmentation regime, bond markets aremore vulnerable throughout the euro area. These findings indicate that efforts to strengthen financial integrationcould contribute to greater bond market resilience. Contents 1Introduction3 2Data & Methodology62.1A Statistical Indicator of Euro Area Financial Fragmentation. . . . . . . . . . . . . . . . . . . .72.1.1Construction of the Fragmentation Indicator. . . . . . . . . . . . . . . . . . . . . . . . .72.1.2Heuristics of the Fragmentation Indicator. . . . . . . . . . . . . . . . . . . . . . . . . . .112.2Construction of Identified Market Shocks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .152.3Assessing Market Fragility with a Local Projections Method . . . . . . . . . . . . . . . . . . . . .16 3Results 3.1Sovereign credit risk. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .193.2Corporate credit risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .223.3Core and periphery credit risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .24 4Robustness 4.1Euro Area Financial Fragmentation Indicator. . . . . . . . . . . . . . . . . . . . . . . . . . . . .264.2Combined Uncertainty in Shock Identification and Impact Estimation. . . . . . . . . . . . . . .284.3Validation of Results via Panel Regression Evidence. . . . . . . . . . . . . . . . . . . . . . . . .29 5Conclusions and Discussion DFinancial Fragmentation and Bond Market Stability: a Panel Regression Approach HAutocorrelation in Sovereign CDS Spreads. 1Introduction History shows that fragmentation comes not only with high economic cost to growth and jobs, but also apotentially high political one, with loss of public confidence in European institutions Financial Times, June 24 2022 Financial fragmentation refers to the breakdown of financial markets into fragments or segments, eithergeographically, by product type, or participant type.1It can be the result of, for example, regulatory andlegal differences between countries, market inefficiencies, or foreign exchange risk. Financial fragmentation canalso have a self-reinforcing dynamic. Financial fragmentation can lead to a sub-optimal capital allocation andprice-inefficiencies. And within the context of a single monetary union –like the euro area–, it can hamper thetransmission of monetary policy.This paper assesses yet another aspect:the relationship between financialfragmentation and the stability/fragility of financial markets.Understanding of this relationship can helppolicymakers take actions to foster resilience and stability through effective harmonization efforts and marketintegration. This paper focuses on the euro area, where the notion of financial fragmentat