The literature about the sovereign yield spreads grew substantially with the euro debt crisis, mainly because of the rising concerns about the Eurozone future and the skepticism regarding the radical shifts in few EMU countries’ interest rates which cannot be explained by standard models. With unsustainable borrowing cost levels, Greece, Ireland and Portugal lost access to the market and part of the public opinion condemned what they called a market irrational behavior. Academics try to bring new lights to these market reactions. Our paper aims to contribute to the growing body of literature that studies the determinants of bond yield differentials in the Eurozone and differs in many ways from the previous works. First of all, we use longer data sets, which cover the recent Eurozone crisis events. [...]