Narratives that portray macroeconomic policies in Japan as unlike ones pursued in other large economies persist. I revisit how several factors, including monetary, fiscal, and demographic factors impact Japan, the US, and the euro area. Panel VARs driven by factors or observed macroeconomic...

The authors show that inefficiencies in the U.S. market for inflation-linked bonds can be exploited by informed traders who include survey estimates or inflation model forecasts in trades on break even inflation. The Treasury Inflation-Protected Securities market has yet to fulfill investors'...

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...

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...

On 11-12 May 2011, SUERF and the Belgian Financial Forum, in association with the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) organized the 29th SUERF Colloquium "New Paradigms in Money and Finance?". All the papers in the present SUERF Study are based on...

We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a no-arbitrage term structure model with stochastic endpoints, separating macroeconomic variables into transitory parts and long-run, economically-grounded, determinants, such as...

Part of the present inflation is caused by the breakdown of globalization, in particular supply chains, part is caused by the Corona Pandemic, in particular lockdowns, part is caused by the Ukrainian War, part is caused by European sanctions, and part - and not the smallest one - is caused by...

Based on monthly data from 1970 to 2022 and the AUROC performance metric, we show that yield curve inversions generally predict recessions in the euro area. However, there are two important limitations. First, the forecasting capability of the yield curve has tended to weaken since the global...

In the aftermath of the global financial crisis, central banks started being confronted with severe challenges that led to an unprecedented policy response in terms of the size and variety of monetary policy measures. One such measure centred on central banks communicating to the public more...