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 …

using time-varying risk premia. Although the quest for the fundamental macroeconomic explanations of these risk premia is … ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …

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

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 …

This paper examines the relationship between the equity premium and the risk free rate at three different maturities … country differences and of inconsistencies with the expectations theory of the term structure. We perform simulations using a …