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This study examines the interrelationship of asset swap spreads on government and mortgage covered bonds in Germany, France, Italy, and Spain between 2007 and mid-2014. Using a local least squares estimator with time varying parameters, we find that in all of the four countries under investigation, the pattern of spread movements for these two bond classes underwent significant changes over time. In Germany, where the confidence of market participants in the solidity of public finances appears to be largely unshaken, spreads were driven apart due to “flight to safety” effects in times of turmoil, and drew closer again when the situation steadied. Yet in France, Italy, and Spain, the (partial) erosion of confidence in the sustainability of government debts led to a protracted weakening of the linkage between the spread movements of government and mortgage covered bonds.

Temporary Alienation or Lasting Separation? Covered and Government Bond Spread Movements during and after the Crisis of 2007-2009