We study the impact of the global financial crisis on government bond risk pricing in the euro area. In particular, we investigate whether, as a result of the crisis, a structural regime shift occurs in the importance of the idiosyncratic country-specific risk factor and the common euro area-wide risk factor that make up the risk premium of euro area government bonds. To this end, a dynamic factor model with Markov switching parameters is estimated using monthly data for the 10 year government bond yield spreads of five euro area countries (Belgium, France, Italy, the Netherlands, and Spain) versus Germany over the period 1999/1 until 2012/4. We identify a permanent regime shift in the pricing of risk during the first half of 2008, i.e. before the Lehman default (September 2008) and well before the outbreak of the government debt crisis in the euro area periphery. Following the regime shift the impact on the spreads of both the country-specific risk factor and the area-wide risk factor is significantly higher in all countries considered. While all countries experience qualitatively similar changes in the risk pricing of their bonds, the magnitude of the changes is different across countries and is most extreme for Italy and Spain.