Term premia and short rate expectations in the euro area
利用带随机波动率的期限结构模型和欧元区全球宏观因子，估计十个欧元区国家的时变期限溢价和短期利率预期，并分离凸性效应，发现期限溢价与收益率波动正相关，且与预期短期利率对通胀和GDP增长冲击反应相反。
Identifying the components of yields is a challenging task for monetary authorities. We use a term structure model with stochastic volatility and eurozone global macro factors to estimate time-varying term premia and short rate expectations for ten countries in the euro area. Unlike previous studies, we explicitly disentangle from these components the convexity effects that have substantial impact on long-term yields in turbulent times. The empirical evidence shows that term premia are significantly positively related to yield volatility across all countries, while term premia and expected short rates react in opposite directions to shocks in eurozone inflation and GDP growth expectations. A connectedness analysis based on variance decomposition suggests that there exist significant cross-country interconnections for the yield components, with the size of the links varying substantially over time and across countries.