A macro-financial analysis of the euro area sovereign bond market q

@inproceedings{Dewachter2016AMA,
  title={A macro-financial analysis of the euro area sovereign bond market q},
  author={Hans Dewachter and Leonardo Iania and Marco Lyrio and Maite de Sola Perea},
  year={2016}
}
  • Hans Dewachter, Leonardo Iania, +1 author Maite de Sola Perea
  • Published 2016
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 multi-market, no-arbitrage affine term structure model with a unique pricing kernel. More specifically, we use the canonical representation proposed by Joslin et al. (2011) and introduce next to standard spanned… CONTINUE READING

From This Paper

Topics from this paper.

Citations

Publications citing this paper.

Similar Papers

Loading similar papers…