This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By calibrating an arbitrage-free reduced form model to the cash- and derivatives markets of each member state, we disentangle credit and market liquidity spread components in government...

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness...

We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously: 1) sovereign bonds, 2) credit default swaps (CDS), and 3) swap...

Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank's bond purchases in...

LIBOR, the predominant family of global short-term rate benchmarks for the past 40 years, ceases to exist in June 2023. Given the low volumes of interbank loans on which LIBOR had been based, the revelations that LIBOR had been manipulated, and the risks that countless LIBOR-dependent financial...

This paper examines the efficiency and distributional impacts of introducing a price floor in an emissions trading system (ETS) when environmental regulation is partitioned. We theoretically characterize the conditions under which a price floor enhances welfare. Using a multi-country...

In this paper we assess the system-wide economic impact of the key financial instruments adopted by the European Union for the implementation of the regional policy: The Structural funds and The Cohesion Funds. We take a bottom-up approach by aggregating the 86 categories of expenditures defined...

This report compares R&D modelling approaches in four macroeconomic models used by the European Commission for ex-ante policy impact assessment: one Dynamic Stochastic General Equilibrium (DSGE) model - QUEST; one Spatial Computable General Equilibrium (SCGE) model - RHOMOLO; one Computable...

This paper presents a macroeconomic evaluation of the impact of the Horizon 2020 funds, carried out using the spatial dynamic general equilibrium model RHOMOLO. The policy disbursement data used to feed the model relate to the actual use of the funds over the period 2014-2021, so this is...

This paper examines the efficiency and distributional impacts of introducing a price floor in an emissions trading system (ETS) when environmental regulation is partitioned. We theoretically characterize the conditions under which a price floor enhances welfare. Using a multi-country...