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 …

In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS … developed methodology to data on major Eurozone sovereign borrowers and consider the most recent period of the Eurozone debt … interesting interaction effects between those components in terms of term structure. Treating the bond-CDS basis as a measure of …

Are government bond risk premia affected by TV news in addition to the effect of the original event reported? We … news affects bond spreads. A one percentage point increase in the share of Eurozone related news leads to -7.6 basis points … share of positive Eurozone related news leads to -69.7 basis points lower bond spreads, whereas a one percentage point …