Are U.S. Corporate Bonds Exposed to Europe?

The article reports on the impact of the European sovereign debt crisis on the U.S. corporate bond market from 2009 to 2011. It shows that interest rates on U.S. corporate bonds have been affected by corporate bond market shocks originating in Europe. It estimates contagion coefficients of around 0.44 to 0.85, which means that a one percentage point increase in European corporate bond spreads translated on average to a 0.44 to 0.85 percentage point increase in corporate bond spreads in the U.S.