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

摘要: We estimate the ‘fundamental’ component of euro area sovereign bond yield spreads, i.e. part spreads that can be justified by country-specific economic factors, fundamentals, and international influences. The spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with unique pricing kernel. More specifically, we use canonical representation proposed Joslin et al. (2011) introduce next to standard spanned factors set unspanned macro as in (forthcoming). applied curve data from Belgium, France, Germany, Italy, Spain over period 2005–2013. Overall, our results show fundamentals are dominant drivers behind spreads. Nevertheless, shocks unrelated fundamental have played an important role dynamics since intensification debt crisis summer 2011