In the end, it requires a normative judgement, offering answers to questions such as: Which differences are well-founded and therefore justified? Which differences are not well-founded and, hence, potentially a sign of a dysfunctional market? Obviously, reasonable people can disagree substantially on the answers to these questions. Strongly diverging prices of, for instance, government bonds may well be a sign of market fragmentation.
However, determining the adequate risk premium as part of an interest rate is a highly difficult exercise. And central banks usually do not know better than market participants what the adequate risk premium or price should be. Coming from the private sector myself, let me add that central bankers should not even attempt to know better.