The Term Structure of Interest Rates in a Heterogeneous Monetary Union

• 成果类型: Article
• 署名作者: Costain, James; Nuno, Galo; Thomas, Carlos
• 署名单位: Banco de Espana
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13463
• 发表日期: 2025
• 页码: 2389-2434
• 关键词: optimal portfolios; debt; POLICY; default; prices; crises

摘要

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.