This paper illustrates how a parsimonious macro-finance model can be exploited to investigate the frequency-domain properties of debt service implied by various financing strategies. This original approach is valuable to public debt managers seeking to assess the fiscal-hedging properties of the...

Over the recent months, several initiatives have taken place to develop macro-prudential regulation in order to prevent systemic risk and the built-up of financial imbalances. Crucial to the success of such policy is the ability of the macro-prudential authority to identify in due time such...

This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behavior of risk premia at the short end of the yield curve. These risk premia are neglected by the...

In this paper, I investigate the effects of the ECB's monetary policy on the yield curve, and make contributions at three levels. First, I propose a novel and tractable model of the yield curve that belongs to the class of affine term-structure models. Importantly, this model is consistent with...

This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank policy rate. The model, whose estimation is based on daily euro-area data, provides evidence of the existence of sizeable monetary-policy-related risk premiums in the yield curve. It is further...

This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...