We investigate the risk spillover from euro area government bond spreads (relative to a safe German government bond of similar maturity) to nonfinancial corporate bonds in France, the Netherlands (‘hard’ euro-area countries), and Italy, Portugal and Spain (‘soft’ euro-area countries). In addition to standard firm- and bond-specific determinants of corporate bonds (capturing liquidity and tax effects, and other euro area macroeconomic risks), we show that there is significant risk transfer from government bonds to the nonfinancial corporate sector. After decomposing the government bond spread into a default risk and a currency redenomination risk component, associated with a possible split in the euro, we find that redenomination risk has been a significant factor in the pricing of corporate bonds, particularly in the ‘soft’ euro-area countries.

我们调查了从欧元区政府债券利差（相对于类似期限的安全德国政府债券）到法国、荷兰（“硬”欧元区国家）以及意大利、葡萄牙和西班牙（“软'欧元区国家）。除了企业债券的标准企业和债券特定决定因素（捕捉流动性和税收影响，以及其他欧元区宏观经济风险），我们还表明，政府债券存在显着的风险转移到非金融企业部门。在将政府债券利差分解为违约风险和货币重新计价风险部分后，与欧元可能的分裂相关，我们发现重新计价风险一直是公司债券定价的一个重要因素，特别是在“软”欧元中-地区国家。