The determinants of sovereign credit spread changes in the Euro-zone

► We study the determinants of government credit spreads in the Euro-area, from January 2000 to December 2010. ► The analysis is divided into two sub-periods delimited by the global financial crisis that started in August 2007. ► Before August 2007, government credit spreads were mainly explained by market related factors. ► After the onset of the financial crisis, the market behavior shifted to a different regime strongly determined by the international volatility and country-specific macroeconomic fundamentals.