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

is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005-2013. Overall, our …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 …

monetary policy shock across different countries, maturities, yield components and over time. The results identify a significant … liquidity. When we decompose the impact into separate yield components, we find that unconventional shocks decreased the common …

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … struc- ture and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating … the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors …