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Euro area sovereign bond risk premia before and during the Covid-19 pandemic()
We provide a novel modeling framework to decompose euro area sovereign bond yields into five distinct components: ([Formula: see text]) expected future short-term risk-free rates and a term premium, ([Formula: see text]) a default risk premium, ([Formula: see text]) redenomination risk premium, ([Fo...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9925421/ https://www.ncbi.nlm.nih.gov/pubmed/36817322 http://dx.doi.org/10.1016/j.euroecorev.2023.104402 |