Garcia, Juan Angel, Werner, Sebastian E. V., (2016), “Bond risk premia, macroeconomic factors and financial crisis in the euro area”, European Central Bank, Working Paper Series 1938, July
Understanding the determinants of bond risk premia is increasingly important for both investors and policymakers. Among those potential determinants, macroeconomic risks are particularly relevant, and economic indeed theory suggests that investors should be compensated for exposures associated with economic fluctuations. In addition, sovereign bond market developments have become increasingly important for monetary policy during the financial crisis, and linking them to the overall macroeconomic situation became crucial from a policy point of view as well.
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