Abstract
The no-arbitrage affine Gaussian term structure model is used for analyzing the impact of macroeconomic surprises on the nominal and the real term structure, in the euro area and in the United States. We find that nominal rates are impacted by surprises on economic growth, labour market and economic outlook in the United States and mostly by surprises on inflation in the euro area. In the United States forward inflation risk premia become sizable around the start of the late-2000s financial crisis and considerably increase just before the adoption of the first unconventional measures of monetary policy in March 2009. In contrast, in the euro area forward inflation risk premia are unchanged even after the adoption of the unconventional monetary policy measures, in October 2008 and in May 2010. In both areas expected long-term inflation expectations have been well anchored over the past years.
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