We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that … yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing … is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005-2013. Overall, our …

implying time-varying impulse responses of yield components. With short-term rate expectations at or close to the lower bound …