This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use a Near-Cointegrated VAR-like approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...

This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use a Near-Cointegrated VAR-like approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...

Using a semi-structural approach, we jointly estimate time-varying national natural real rates of interest for the four largest economies of the euro area over 1999-2016 and discuss the associated challenges for the single monetary policy. We find evidence of an increased dispersion of real...

Henry Thornton (1760-1815), whose major work - An Enquiry into the Nature and Effects of the Paper Credit of Great Britain - is celebrating its bicentennary in 2002, is considered today to be one of the most prominent classical monetary economist, in particular with regard to its seminal...