premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that …

model describes the macroeconomy. Bond yields are affine functions of the state variables of the macromodel, and are derived …

house price inflation, strong private debt growth and low credit risk spreads. The results suggest that (i) monetary policy …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

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 investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation … risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation …

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 …