The debt crisis in the euro area led to obvious changes in the structure of euro area bond
markets. To model the process of disintegration that has taken place as a result of this crisis this analysis uses a dynamic factor model with time-varying loadings and two factors. While some
core countries load rather stably on one factor, this factor loses its impact on many peripheral
countries over time. At least for some periods, countries that are affected by the debt crisis load highly on a second factor, especially Spain and Italy. Ireland, Portugal, and Greece, which all load highly on the second factor for some periods, show signs of decoupling at the current edge.