A measure of the credibility of monetary policy is the inflation risk premium embodied in nominal yields. This will be … with that in the real term structure of inflation-indexed bonds. Information can also be obtained about the real risk … premium, and about expected inflation. We estimate these risk premia using a generalization of the Cox-Ingersoll-Ross (CIR …

We study the determinants of euro area sovereign bond spreads since the introduction of the euro. An aggregate risk … banking sectors. When aggregate risk increases, countries with large banking sectors with low equity ratios experience greater … widening in yield spreads, suggesting that financial markets perceive a larger risk that governments will have to rescue banks …

This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates … allows us to disentangle risk premia and unexpected excess returns, which is not possible in the standard time series … full data panel of U.S. Treasury securities. Second, a considerable degree of mean reversion is present in the risk premia …

differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …

The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk …