2022
DOI: 10.2139/ssrn.4187872
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Expectations and term premia in EFSF bond yields

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“…The special premium of the benchmark bonds in a currency area is an international phenomenon, see Diamond and Van Tassel (2022). In the euro area, the Bund also has a premium over the bonds issued by the EU and EFSF, see Bletzinger, Greif, and Schwaab (2022) and Carriero, Ricci, and Vangelista (2022).…”
Section: Implicit Bund Short Rates and Their Expected Pathmentioning
confidence: 99%
“…The special premium of the benchmark bonds in a currency area is an international phenomenon, see Diamond and Van Tassel (2022). In the euro area, the Bund also has a premium over the bonds issued by the EU and EFSF, see Bletzinger, Greif, and Schwaab (2022) and Carriero, Ricci, and Vangelista (2022).…”
Section: Implicit Bund Short Rates and Their Expected Pathmentioning
confidence: 99%