Guo, Hui; Savickas, Robert; Wang, Zijun; Yang, Jian - Federal Reserve Bank of St. Louis - 2006
business downturns. Consistent with this
hypothesis, we find that the conditional value premium tends to move … before or during business recessions (dated by the
National Bureau of Economic Research (NBER)), as denoted by the shaded … business-cycle frequency. To address this
issue, we include them as instrumental variables, in addition to those used in row 6 …