In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia … countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia … using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve …

forecast the yield curve in a way that allows us to incorporate a non-arbitrage opportunities condition and risk aversion into … an estimation of the risk premia. Our approach is somewhat equivalent to the recent contribution of Christiensen, Diebold … directly the inflation rate as an additional factor without reducing the forecasting ability of the model. The augmented model …

Since the Latin American debt crisis of the early 80s, country risk analysis has accounted for a significant part of … the work of research and risk management departments of banks, insurance companies, rating agencies, financial market … regulators, and multinational companies. Country risk is a very broad concept, that includes sovereign risk, transfer risk, and …

interest risk and inflation risk, or because it helps them reduce the volatility of their portfolio of stocks and bonds because …In this article, we explore the demand for the euro for risk management purposes, and the evidence of stock market … consequently improved risk sharing among euro zone economies. …

, differences are muted by wealth effects on labor supply and by the presence of savers. More persistent shocks, such as inflation … of collateral constraints, the optimal Taylor rule is less aggressive against inflation than in the standard sticky …