Dewachter, Hans; Iania, Leonardo; Lyrio, Marco - In: Journal of Applied Econometrics 29 (2014) 1, pp. 42-64
SUMMARY We use a macro‐finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the...