This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and the corresponding inflation risk premia, in the euro area and in the United States. After estimating the model using...

We test whether the sharp increase in sovereign spreads of Euro area countries with respect to Germany observed after the burst of the Greek crisis on October 2009 is due to a deterioration of the macroeconomic and fiscal scenarios, or to some form of financial contagion. More in detail, we...

We test whether the sharp increase in sovereign spreads of euro area countries with respect to Germany after the explosion of the Greek crisis was due to deteriorating macroeconomic and fiscal fundamentals or to some form of financial contagion. Our analysis includes indicators of domestic and...

Term structure models are routinely used by central banks to assess the impact of their communication on market participants' views of future interest rate developments. However, recent studies have pointed out that traditional term structure models can provide misleading indications when policy...

We conduct an empirical analysis of sovereign bond spreads for a selected number of euro area countries. We analyze several methodologies to measure and to assess the relative importance of three components of sovereign spreads: credit premia, liquidity premia and convenience yields. We find...