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.

中文翻译：

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异质货币联盟中的利率期限结构

我们建立了一个基于套利的具有主权违约风险的异质货币联盟的收益率曲线模型，该模型解释了 Covid-19 大流行期间欧元区收益率的不对称变化。我们推导出仿射期限结构解决方案，并将收益率分解为预期、期限溢价、预期违约损失和信用风险溢价部分。在扩展中，我们将外围违约概率内生化，表明它随着央行债券持有量的增加而降低。将模型校准到德国和意大利，我们表明主权利差的水平和变化主要归因于信用风险溢价。