Showing 1 - 10 of 28
Persistent link: https://www.econbiz.de/10010253809
Persistent link: https://www.econbiz.de/10010358789
We test whether the sharp increase in sovereign spreads of Euro area countries with respect to Germany observed after the burst of the Greek crisis on October 2009 is due to a deterioration of the macroeconomic and fiscal scenarios, or to some form of financial contagion. More in detail, we...
Persistent link: https://www.econbiz.de/10013101559
We test whether the sharp increase in sovereign spreads of euro area countries with respect to Germany after the explosion of the Greek crisis was due to deteriorating macroeconomic and fiscal fundamentals or to some form of financial contagion. Our analysis includes indicators of domestic and...
Persistent link: https://www.econbiz.de/10013082523
The no-arbitrage affine Gaussian term structure model is used to analyse the impact of macroeconomic surprises on the nominal and the real term structure in the euro area and in the United States. We find that nominal rates are affected by surprises in economic growth, the labour market and the...
Persistent link: https://www.econbiz.de/10013072623
We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average inflation and time-varying inflation volatility...
Persistent link: https://www.econbiz.de/10014235921
Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation...
Persistent link: https://www.econbiz.de/10013110056
Persistent link: https://www.econbiz.de/10010206701
Persistent link: https://www.econbiz.de/10009618709
Persistent link: https://www.econbiz.de/10010351112