Monfort, A.; Renne, J-P. - Banque de France - 2011
In this paper, we propose a model of the joint dynamics of euro-area sovereign yield curves. The arbitrage … factors and regimes explain most of the fluctuations in euro-area yields and spreads. The regime-switching feature of the … disentangling. The estimation suggests that a substantial share of the changes in euro-area yield differentials is liquidity …