This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behavior of risk premia at the short end of the yield curve. These risk premia are neglected by the...

In this paper, I investigate the effects of the ECB's monetary policy on the yield curve, and make contributions at three levels. First, I propose a novel and tractable model of the yield curve that belongs to the class of affine term-structure models. Importantly, this model is consistent with...

On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...

For central banks, official communications serve as essential monetary policy instruments: In press releases, speeches, and interviews, central banks explain their decisions, manage expectations, and promote confidence in their strategy. This Weekly Report analyzes European Central Bank (ECB)...

This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank policy rate. The model, whose estimation is based on daily euro-area data, provides evidence of the existence of sizeable monetary-policy-related risk premiums in the yield curve. It is further...

Soaring energy prices since fall 2021 have prompted European governments to introduce policy measures to support households and businesses. In this paper, we employ the MATRIX model, a multi-sector and multi-agent macroeconomic model calibrated on the Euro Area, to analyze the economic and...

This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...

With this paper, our objective is to empirically study public debt sustainability by estimating a fiscal reaction function where the primary balance relative to GDP is assumed to be a function of the public debt to GDP ratio of the previous year and of other macroeconomic variables. In...

Several studies investigate the relationship between government debt/deficit ratios and the real long-term interest rates, but the empirical evidence is not conclusive enough for consensus building. Evidence for statistically weak or mixed association is as much as the evidence for a strong...