We estimate a New-Keynesian macro-finance model of the yield curve incorporating learning by private agents with respect to the long-run expectation of inflation and the equilibrium real interest rate. A preliminary analysis shows that some liquidity premia, expressed as a degree of mispricing...

This paper examines the interactions between monetary policy and stability of interbank money markets. After showing some empirical evidence of a central bank's concern for money market stability I derive a forward smoothing interest rate rule moving from an explicit target in terms of a...

We propose a model that delivers endogenous variations in term spreads driven primarily by banks' portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks' portfolios affect their ability to cover for...

With its interest rate instrument at the zero lower bound, the Federal Open Market Committee has turned to unconventional methods to stimulate economic growth and increase employment. Prominent among these is quantitative easing (QE) — the purchase of a large quantity of longer-term debt....

This paper estimates the impact of the Federal Reserve's 2008-2011 quantitative easing (QE) program on the U.S. term structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly includes the quantity impact of the Fed's trades on...

This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use an averaging-estimator approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...

This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the overnight lending rate. The results show that...

We study the cross-border impact of quantitative easing (QE) in the major advanced economies, especially on emerging market economies. We first examine the cross-border financial market impact of central bank announcements of asset purchase programmes. We find marked QE announcement effects on...

We propose a model that delivers endogenous variations in term spreads driven by banks' portfolio decision while facing the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios affect their ability to cover for any liquidity needs and...

This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behavior of risk premia at the short end of the yield curve. These risk premia are neglected by the...