| Nº Sistema |
000475880 |
| Autor |
 Costain, James |
| Autor |
Nuño, Galo |
|
Thomas, Carlos |
| Título |
The term structure of interest rates in a heterogeneous monetary union [Recurso electrónico] / James Costain, Galo Nuño, Carlos Thomas. |
| Publicado en |
Journal of Finance [Artículos], vol. LXXX, nº 4, August 2025, pp. 2389-2434 |
| Nota general |
Artículo de revista |
| Resumen |
We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which accounts for the asymmetric shifts in euro-area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into expectations, term premium, expected default loss, and credit risk premium components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond holdings. Calibrating the model to Germany and Italy, we show that both the level and the shifts in the sovereign spread are mainly attributable to the credit risk premium. [Resumen de autor] [eng] |
| Restricciones |
Acceso electrónico RESTRINGIDO por IP a los usuarios de la Biblioteca del Banco de España |
| Acceso electrónico |
 Acceso al texto completo. |
| Relacionado con |
Documentos de Trabajo / Banco de España ; 2223 |
| Clasificación |
E3-Política monetaria. |
|
F31-Integración monetaria europea. |
| Materia |
Alemania |
|
Italia |
