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

-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … kernel-based methods discussed in Giraitis et al. (2018), but relying on the estimation approach put forward in Morf et al … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …