Was there a "Greenspan conundrum" in the Euro area ?

This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use a Near-Cointegrated VAR-like approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more accurate estimates of the term premium incorporated into the Eurozone's sovereign yield curve. I then look for notable episodes of the monetary cycle where long yields display a puzzling behavior vis-à-vis the short rate in contrast with the Expectation Hypothesis. The Euro-area bond market appears to have gone through its own "Greenspan conundrum".At least three "conundra" episodes can be singled out in the Eurozone between January 1999 and August 2008. The term premium substantially contributed to these odd phenomena.