expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium …

a risk-free rate) on top of the systematic component that is common to all countries (and that is interacted with a … 10 year government bond spreads of Belgium, France, Italy, and the Netherlands versus Germany over the period 1991 … euro implying that the efficiency of the euro area government bond markets under consideration has increased. Full …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS … spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008-2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …

There is a growing consensus that part of the surge in government bond spreads during the EMU debt crisis can be …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS … spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …

, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …