The decomposition of bond yields into term premiums and average expected future short rates is impaired by the limited availability of information about the dynamics of the expectations component. Therefore, many studies require the model-implied average expected future short rates to be close...

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

In this article, we present a model that can account for the changes in the German current account balance since the 2000s. Our results suggest that an array of structural tax and labor market reforms (Agenda 2010), population aging and pension reforms led to an increase in the household savings...

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...

The purpose of the present paper is twofold. First, it describes zero-coupon yield curve estimates for Germany from September 1972 to February 1996 using a variety of curve-fitting procedures. Second, these estimates are examined for their information content regarding future inflation. The...

The paper introduces the Deutsche Bundesbank's new procedure for estimating the term structure of interest rates. It describes the basic methodological approaches used (Nelson and Siegel, 1987, and Svensson, 1994) and some fundamental concepts which are important for estimating and interpreting...

In a three-region New Keynesian life-cycle model calibrated to Germany, the Euro area (without Germany) and the rest of the world, we analyze the impact of population ageing on net foreign asset and current account developments. Using unsynchronized demographic trends by taking those of Germany...

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002,...

Central banks wish to avoid self-fulfilling fluctuations. Monetary rules with a unit response to real rates achieve this under the weakest possible assumptions about the behaviour of households and firms. They are robust to household heterogeneity, hand-to-mouth consumers, non-rational...