We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...

We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution and decompose yields into term premium...

Es difícil cuadrar la reacción asimétrica de las curvas de tipos en el área del euro tras el anuncio del programa de compras de emergencia frente a la pandemia (PEPP, por sus siglas en inglés) del Banco Central Europeo (BCE) con la interpretación ortodoxa de los efectos de las compras de...

This paper empirically quantifies the effect on Spain’s public finances of the asset purchase programmes implemented in the euro area between 2015 and 2022. Specifically, it evaluates the impact of the ECB’s Asset Purchase Programme (APP) and Pandemic Emergency Purchase Programme (PEPP) on...

Este documento ofrece una cuantificación empírica del efecto sobre las cuentas públicas en España de los programas de compras de activos implementados en el área del euro entre 2015 y 2022. En particular, se evalúa el impacto sobre los ingresos, los gastos, el déficit y la deuda pública...

Monetary policy communication is particularly important during unconventional times, because high uncertainty about the economy, the introduction of new policy tools and possible limits to the central bank 's toolkit could hamper the predictability of policy actions. We study how monetary policy...