Most short-term interest rates in the euro area are below the European Central Bank deposit
facility rate, the rate at which the central bank remunerates banks for excess reserves. This …

The downtrend in US interest rates over the past two decades may partly reflect a decline in
the longer-run equilibrium real rate of interest. We examine this issue using dynamic term …

We introduce an arbitrage-free term structure model of nominal and real yields that accounts
for liquidity risk in Treasury inflation-protected securities (TIPS). The novel feature of our …

In their search for yield in the current low interest rate environment, many investors have
turned to sovereign debt in emerging economies, which has raised concerns about risks to …

We estimate a structural term‐structure model of US real rates, where arbitrageurs
accommodate demand pressures exerted by domestic and foreign official investors. Official …

I compare the direct issuance costs of inflation-linked debt (the liquidity premium) with
nominal government debt (the inflation risk premium) in developed countries. On average, it …

Most short-term interest rates in the Euro area are below the European Central Bank deposit
facility rate, the rate at which the central bank remunerates banks' excess reserves. This …

The premium on" on-the-run" Treasuries (ie the most recently issued ones) is an anomaly. I
explain it using a model in which primary dealers hold inventories of Treasuries. Primary …

Some Euro area money market rates have been standing below the deposit facility rate
since 2015, which coincided with the start of the Eurosystem's public sector purchase …

In the Treasury market, the most recently issued security typically trades at a higher price
than more seasoned but otherwise comparable securities. The difference is known as the …