We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average inflation and time-varying inflation volatility...

This paper provides an estimate of the fair value of the Italian ten-year sovereign spread, defined as a value consistent with the country’s macroeconomic fundamentals. It uses a multi-country model in which the spreads of the government bond yields of Italy, France and Spain with respect to...