In the financial market in general, the difference in yields on different types of debt securities. – At the ECB, this refers in particular to the difference between the yield on corporate bonds on the one hand and government bonds on the other. The yield on government bonds is shown in the section “Euro area statistics,” heading “Financial markets,” subheading “Yield on government bonds” of the ECB’s respective Monthly Bulletin – in some cases on a comparative basis with the United States and Japan. – Special measure for assessing stability in financial markets. Here, the difference between subordinated debt securities issued by banks and government bonds is calculated. – See distance to default threshold, crowding out, maturity premium, bond values, corporate bonds. – Cf. ECB Monthly Bulletin, August 2001, p. 16 ff, ECB Monthly Report of August 2002, p. 66, ECB Monthly Report of April 2003, p. 20 (for explanations), ECB Monthly Report of January 2005, p. 25 f. (with overviews), ECB Monthly Report of June 2005, p. 33 f. (differences for BBB-rated companies explained), ECB Monthly Report of September 2006, p. 39 (overview of yield spreads since 1999), Deutsche Bundesbank Monthly Report of October 2006, p. 41 (yield spreads of normal to inflation-linked bonds), ECB Monthly Bulletin of November 2006 (corporate bond yield spreads; market vulnerability to increasing implied volatility; overviews), ECB Monthly Bulletin of October 2007, pp. 37 ff (econometric model to explain bond yield spreads), ECB Monthly Bulletin of May 2008, pp. 37 ff (government bond yield spreads since 1999; overviews, explanatory approaches), Deutsche Bundesbank Monthly Bulletin of December 2008, p. 34 (investors consider the respective state of public finances also in the euro area), ECB Annual Report 2008, pp. 82 ff. (developments since 1999; overviews), ECB Monthly Report of July 2009, pp. 31 ff. (yield spreads during the financial crisis; comparison of euro area to U.S.; overviews), ECB Monthly Report of July 2009, p. 75 (reasons for yield spreads of long-term government bonds within the euro area), Annual Report 2009 of the Deutsche Bundesbank, p. 27 (yield spreads of euro area bond series 2006-2010), Annual Report 2010 of the Deutsche Bundesbank, p. 27 (comparing several yield spreads), Deutsche Bundesbank Monthly Report of November 2011, p. 43 (spreads on Pigs government bonds since 2009), ECB Monthly Report of June 2013, p. 46 ff. (detailed presentation of yield spreads since 2007; many overviews; explanatory approaches), ECB Monthly Report of May 2014, p. 73 ff. (detailed presentation of yield spreads in the EMU since 1999; many overviews; effect of the ECB’s purchase program; references).
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