[17] In fact, according to the model, the cumulated negative impact of the term premium shock on the euro since mid-2014 is more than double the contribution of the rate expectation shock. This reflects the fact that term premia have declined much more than rate expectations since mid-2014.
[18] A role for term premia in influencing the euro exchange rate is in line with Dedola et al. (2019). These authors point to several transmission channels through which the APP has significantly affected the euro/US dollar exchange rate.