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Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

equilibrium interest rate (r*), trend inflation (π*), and term premia. Similar to Bauer and Rudebusch (2020, AER), π* and r …

Persistent link: https://www.econbiz.de/10012705391

Bond risk premia, macroeconomic factors and financial crisis in the euro area

Garcia, Juan Angel; Werner, Sebastian E. V. - 2016

Persistent link: https://www.econbiz.de/10011618758

Inflation risk premia in the term structure of interest rates

Hördahl, Peter (contributor); Tristani, Oreste (contributor) - 2007

This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of … affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU … appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have …

Persistent link: https://www.econbiz.de/10003422844

Issuance and valuation of corporate bonds with quantitative easing

Pegoraro, Stefano; Montagna, Mattia - 2021

After the announcement of the European Central Bank's corporate quantitative easing program, non-financial corporations timed the bond market by shifting their issuance toward bonds eligible for the program. However, issuers of eligible bonds did not increase total issuance compared to other...

Persistent link: https://www.econbiz.de/10012422429

Euro area sovereign bond risk premia during the Covid-19 pandemic

Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Iden- tification is...

Persistent link: https://www.econbiz.de/10012519519

The financial and macroeconomic effects of OMT announcements

Altavilla, Carlo; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010441251

On the inflation risks embedded in sovereign bond yields

Camba-Méndez, Gonzalo - 2020

investors for holding the less attractive inflation-linked debt asset. … by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

Persistent link: https://www.econbiz.de/10012241109

Structural asymmetries and financial imbalances in the eurozone

Jaccard, Ivan; Smets, Frank - 2017

Almost two decades after the introduction of the common currency, differences in institutional frameworks remain a major source of cross-country heterogeneity in the eurozone. We develop a two-country model with incomplete international markets in which the availability of credit depends on the...

Persistent link: https://www.econbiz.de/10011662924

What drives euro area financial market developments? : the role of US spillovers and global risk

Brandt, Lennart; Saint-Guilhem, Arthur; Schröder, … - 2021

Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand the driving factors behind financial market developments. In this paper, we exploit daily cross-asset price movements in a sign-restricted BVAR model to...

Persistent link: https://www.econbiz.de/10012519484

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10003297541

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