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EUTERPE SIGNED

Estimation of the term premium in Euro Area government bonds

Total Cost €

EC-Contrib. €

Partnership

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EUTERPE project word cloud

Explore the words cloud of the EUTERPE project. It provides you a very rough idea of what is the project "EUTERPE" about.

skills quantitative movements variables profile banks network risk training gap unobservable perceived international thereby host publication policy global time underlying clear provides journals innovative analytical components volatility environment relies industry structure interesting excellent restart scientific financial bonds purpose literature intends business normalize proposing purposes euterpe issue career tool producing class policymakers universities decisions strengthen holding central departments maturity transferable first fill ea monetary equip representing curves potentially premium outstanding model me professional estimation estimates rates forces interrelation area interaction yield government reducing pursuing reputable macro investors supervisor country procedure easing

Project "EUTERPE" data sheet

The following table provides information about the project.

Coordinator	UNIVERSITA CA' FOSCARI VENEZIA Organization address address: DORSODURO 3246 city: VENEZIA postcode: 30123 website: www.unive.it contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.
Coordinator Country	Italy [IT]
Total cost	180˙277 €
EC max contribution	180˙277 € (100%)
Programme	1. H2020-EU.1.3.2. (Nurturing excellence by means of cross-border and cross-sector mobility)
Code Call	H2020-MSCA-IF-2017
Funding Scheme	MSCA-IF-EF-CAR
Starting year	2018
Duration (year-month-day)	from 2018-04-01 to 2020-05-01

Partnership

Take a look of project's partnership.

#	participants	country	role	EC contrib. [€]
1	UNIVERSITA CA' FOSCARI VENEZIA UNIVERSITA CA' FOSCARI VENEZIA Organization address address: DORSODURO 3246 city: VENEZIA postcode: 30123 website: www.unive.it contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	IT (VENEZIA)	coordinator	180˙277.00

Map

Project objective

The European monetary authorities, as well as most central banks, are currently pursuing the objective of reducing the Quantitative Easing and normalize interest rates. A clear understanding of the forces underlying the movements in interest rates has thus become a timely and very relevant issue. In particular, a challenging task for policymakers is the estimation in real time of the unobservable term premium, which provides a measure of the investors’ perceived risk of holding government bonds. The purpose of the EUTERPE (EUropean TERm Premium Estimation) project is to implement an innovative system producing timely and reliable estimates of the term premium and its components for government bonds of the Euro Area (EA). The project aims to fill an important gap in the existing literature by proposing an integrated procedure which relies on a novel multi-country term structure model with interrelation between yield curves, macro variables, volatility, and global factors. EUTERPE intends to equip the European policymakers with a new analytical tool for their monetary policy decisions and has potentially various applications in the financial industry, thereby representing a way to use knowledge in Europe effectively for business and policy purposes. The specific training activity in research and transferable skills, the outstanding profile of the Supervisor, the excellent research environment offered by the host institution, and the interaction with a first-class network of European policymakers and research institutions are all factors which will contribute to increase my professional maturity and will allow me to restart a career in research at an advanced level. In particular, the publication of the results in highly reputable scientific journals and the other dissemination activities will strengthen my profile both for European universities and for research departments of international financial institutions and will open up new interesting career opportunities.

Publications

List of publications.
year	authors and title	journal	last update
2018	Andrea Berardi, Alberto Plazzi Inflation Risk Premia, Yield Volatility, and Macro Factors published pages: 397-431, ISSN: 1479-8409, DOI: 10.1093/jjfinec/nby004	Journal of Financial Econometrics 17/3	2020-01-29

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The information about "EUTERPE" are provided by the European Opendata Portal: CORDIS opendata.