This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that … apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the … the differences between the objective and the risk neutral distributions also vary over time. We conclude that one should …

ECB. It is shown that the most important variables driving the level and the volatility of this spread are expectations …

This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest … and debt-service ratio and depend positively on the issuer’s relative bond market size. Global investors’ attitude towards … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …

compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …

This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis … debt ratios relative to Germany contributed to higher government bond yield spreads in the euro area during the analysed …

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

This paper uses data on German government bond futures options to examine the behaviour of market expectations around … monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market … expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that …