This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations. The model extends the approach pioneered by Kozicki and Tinsley (2001) by modeling consistently long-run inflation expectations...

This paper investigates the exchange rate dynamics implied by a heterogeneous agent model proposed in De Grauwe and Grimaldi (2006). The two groups of agents, chartists and fundamentalists, use simple forecasting rules and the ex post relative profitability to decide whether to switch to the...

This paper investigates the exchange rate dynamics implied by a heterogeneous agent model proposed in De Grauwe and Grimaldi (2006). The two groups of agents, chartists and fundamentalists, use simple forecasting rules and the ex post relative profitability to decide whether to switch to the...

This paper investigates the exchange rate dynamics implied by a heterogeneous agent model proposed in De Grauwe and Grimaldi (2006). The two groups of agents, chartists and fundamentalists, use simple forecasting rules and the ex post relative profitability to decide whether to switch to the...

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a...

We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the U.S. bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied...

We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001-2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology proposed by Dewachter, Iania, Lyrio, and Perea (2015)....

We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001-2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology proposed by Dewachter, Iania, Lyrio, and Perea (2015)....