We develop a parsimonious arbitrage-free yield net model for consistent bond pricing across maturities and issuers. Containing a core curve and multiple periphery curves, the yield net is spanned by three layers of factors: base factors spanning all curves, common spread factors spanning all...

The long-run relationship between money and prices in the euro area embedded in traditional money demand models with income and interest rates broke down after 2001. We develop a money demand model where investors hold a diversified portfolio with money, domestic and foreign stocks and long-term...