risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit … perceived asymmetries in inflation risks help interpret the dynamics of long-term inflation risk premia, even after controlling …

for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected inflation … namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium …

This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …

A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This … paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …

Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to de …-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation …-linked swap (ILS) rates – a market-based measure of inflation expectations – to macroeconomic surprises in the euro area. Compared …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …

fundamentals and considerable time variations in the pricing of risks. There has been a reduced pricing of several risk factors in … the years preceding the financial crisis, and either an overpricing of risk or the pricing of a re-denomination risk of …

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign … markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre …-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting …

from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the …