We study heterogeneity in the transmission of monetary shocks across euro-area (EA)
countries using a dynamic factor model and high-frequency identification. Deploying a novel …

We ask how central banks can change their communication in order to receive greater
newspaper coverage. We write down a model of news production and consumption in which …

We analyze the impact of COVID‐19 vaccine announcements by leading vaccine
companies on the financial and commodity markets from January to December 2020. We …

This paper proposes an identification strategy for news about sovereign debt-based asset
purchases. It measures sovereign yield changes that are unrelated to movements in risk-free …

No-arbitrage dynamic term structure models (DTSMs) have regularly been used to estimate
interest rate expectations and term premia, but are beset by empirical challenges. I propose …

Many advanced economies sell sovereign bonds at a yield below the risk-free rate plus a
default risk premium, benefiting from strong demand for safe assets. The literature shows …

This paper studies the profitability of market-neutral delta-hedged strategies trading the
mispricing of Euro Short Term Rate Overnight Index Swaps (Estr OIS) signalled by standard …

We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area
macroeconomic data and interest rate expectations measures. The model with POSA has …

This study examines the forecasting performance of inflation swaps and survey-based
expectations for one-year inflation. Conducting this exercise helps determine if one set of …

Unconventional monetary policies have now been part of the toolkit of developed economy
central banks for well over a decade. The question of how their effects have changed over …