We estimate the ‘fundamental’ component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a...

SUMMARY We use a macro‐finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the...

We estimate a New-Keynesian macro-finance model of the yield curve incorporating learning by private agents with respect to the long-run expectation of inflation and the equilibrium real interest rate. A preliminary analysis shows that some liquidity premia, expressed as some degree of...

We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the U.S. bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied...

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a...

This paper investigates the exchange rate dynamics implied by a heterogeneous agent model proposed in De Grauwe and Grimaldi (2006). The two groups of agents, chartists and fundamentalists, use simple forecasting rules and the ex post relative profitability to decide whether to switch to the...

This paper investigates the exchange rate dynamics implied by a heterogeneous agent model proposed in De Grauwe and Grimaldi (2006). The two groups of agents, chartists and fundamentalists, use simple forecasting rules and the ex post relative profitability to decide whether to switch to the...

This paper investigates the exchange rate dynamics implied by a heterogeneous agent model proposed in De Grauwe and Grimaldi (2006). The two groups of agents, chartists and fundamentalists, use simple forecasting rules and the ex post relative profitability to decide whether to switch to the...