Dewachter, Hans; Iania, Leonardo - In: Journal of Financial and Quantitative Analysis 46 (2012) 06, pp. 1893-1916
This paper extends the benchmark macro-finance (MF) model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return-forecasting factors. Liquidity factors are obtained from a decomposition of the money market spread, while the return-forecasting (risk...