The Term Structure of Interest Rates in a Heterogeneous Monetary Union
构建了一个包含主权违约风险的异质性货币联盟收益率曲线模型，分解欧元区收益率为预期、期限溢价、预期违约损失和信用风险溢价，并发现主权利差主要受信用风险溢价驱动。
ABSTRACT 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.