Working Paper 17
The Price of Safety: Twenty Years of Sovereign Bond Spreads Across Five Regions
October 2026
Abstract
We measure how the compensation investors demand for holding sovereign debt instead of their region's safest bond has changed over twenty years. Using monthly 10-year government bond yields for 17 economies from January 2006 to August 2026, we compute spreads against the regional benchmark: the United States, Germany and Japan. Euro-area spreads never returned to pre-2008 levels: France trades about 80 basis points above Germany today against near zero in 2006, and the United Kingdom's spread has more than doubled. Asia-Pacific spreads compressed dramatically as Japanese yields normalized. Spread spikes remain episodic and country-specific.