Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve
by Peter Hördahl, Eli M Remolona and Giorgio Valente
| Year of publication: |
November 2015
|
|---|---|
| Authors: | Hördahl, Peter ; Remolona, Eli M. ; Valente, Giorgio |
| Publisher: |
Basel : Bank for International Settlements, Monetary and Economic Department |
| Subject: | Bond excess returns | term structure of interest rates | affine models | macroeconomic announcements | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Ankündigungseffekt | Announcement effect | Kapitaleinkommen | Capital income | Theorie | Theory | Öffentliche Anleihe | Public bond | Erwartungsbildung | Expectation formation | Volatilität | Volatility | Großbritannien | United Kingdom | Schätzung | Estimation |
| Extent: | 1 Online-Ressource (circa 54 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / Bank for International Settlements. - Basle, ISSN 1682-7678, ZDB-ID 2467027-3. - Vol. no 527 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011437580