In this paper we propose an approach to identify indipendently the parameters describing the structure of the economy from the parameters describing central bank preferences. We first estimate the parameters describing the structure of the US economy by considering a parsimonious specification...

This paper puts forward a proposal to complete the ECB Transmission Protection Mechanism (TPI) with the aim of making it more effective in anchoring the yields of European sovereign debts to Member States’ fundamentals. We use a model in which yields fluctuate within bands, which we specify...

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage...

The aim of this paper is to analyse the implications of the theory of irreversible investment under uncertainty for investment in oil fields on the United Kingdom Continental Shelf (UKCS). We consider the problem of an operator who owns a licence to develop and extract oil from a field of known...

Trends in demographics and income inequality have been considered as explanations for the drift in the natural rate of interest. The conclusion reached so far is that, while time-series evidence is not decisive, microeconomic evidence challenges demographics (Mian, Straub, and Sufi, 2021). We...

We find that the value of well-known systematic (characteristics-based) risk factors, like SMB and HML, is anchored to macroeconomic trends related to inflation and real economic activity. Exploiting the cointegration logic, when the price of a factor is greater than the long-term value implied...

This paper analyses the potential of a European Debt Agency (EDA) as an efficient debt management institution for the Euro area. The simulation of prices and quantities that would have been observed in a scenario with an operational EDA illustrates that there have been fluctuations in bond...