Rien Wagenvoort and Sanne Zwart, "Uncovering the Common Risk-Free Rate 
in the European Monetary Union", Journal of Applied Econometrics, Vol. 
29, No. 3, 2014, pp. 394-414.

As described in the paper, 5-year and 10-year bond spot yields were
constructed by adding interpolated z-spreads (associated with
individual bond quotes) to swap spot yields as reported by Bloomberg.
The Bloomberg BGN series were used to construct mid-yields, whereas the
Bloomberg CBBT series were used to construct bid-ask spreads.

Sovereign CDS prices are from Credit Market Analysis Limited, and EIB
CDS prices are from Markit. The CDS bid-ask spreads are median values
over the last five trading days. The appendix to the paper contains
explanations of the bond selection criteria. Outliers and missing
values are filled by linear interpolation.  

All data are in the Excel file wz-data.xlsx. The Excel file contains
four sheets, which may also be found in separate text (tab delimited)
files with the following extensions: _bond_spot_rates.txt,
_CDS_prices.txt, _bond_bid-ask_spreads.txt and
_CDS_bid-ask_spreads.txt. These files, which are in DOS format, are
zipped in the file wz-data.zip. Unix/Linux users should use "unzip -a".