Media contributions
1Media contributions
Title Identifying financial fragmentation in the euro area Media name/outlet Suerf Country/Territory Netherlands Date 6/02/23 Description We present a novel metric for financial fragmentation in the euro area, based on the higher moments of the distribution of sovereign spreads relative to macro-financial fundamentals. The metric shows that the observed moments of the spread distribution occasionally overshot their fundamentals-based benchmarks until 2018, which suggests that markets were sometimes fragmented. The observed moments have hardly exceeded fundamentally justified levels in recent years, however, including the period with rising interest rates. The latter may be attributed to backstop facilities of the European Central Bank (ECB), such as the Transmission Protection Instrument (TPI). URL https://www.suerf.org/publications/suerf-policy-notes-and-briefs/identifying-financial-fragmentation-in-the-euro-area/ Persons Jan Willem van den End, Jan Kakes