A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures
Year of publication: |
2020
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Authors: | Diercks, Anthony M. |
Other Persons: | Carl, Uri (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Theorie | Theory | Risiko | Risk | Geldpolitik | Monetary policy | Geldmarkt | Money market | Messung | Measurement | Erwartungsbildung | Expectation formation | Staatspapier | Government securities | Futures |
Description of contents: |
In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium
Abstract [papers.ssrn.com]
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Extent: | 1 Online-Ressource |
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Series: | FEDS Notes ; No. 2019-01-08 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2019-01-08 erstellt Volltext nicht verfügbar |
Source: | ECONIS - Online Catalogue of the ZBW |
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