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  • Search: subject:"ex ante macroeconomic risks"
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Year of publication
Subject
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bond risk premia 3 ex ante macroeconomic risks 3 expectations hypothesis 3 macro risk factors 3 term structure of interest rates 3 Anleihe 1 Bond 1 Bond market 1 Capital income 1 Erwartungsbildung 1 Estimation 1 Expectation formation 1 Forecasting model 1 Impact assessment 1 Kapitaleinkommen 1 Macroeconomics 1 Makroökonomik 1 Prognoseverfahren 1 Rentenmarkt 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1 Schätzung 1 Theorie 1 Theory 1 Wirkungsanalyse 1 Yield curve 1 Zinsstruktur 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2 Undetermined 1
Author
All
De Rezende, Rafael B. 2 Rezende, Rafael B. De 1
Institution
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Sveriges Riksbank 1
Published in...
All
Sveriges Riksbank Working Paper Series 1 Sveriges Riksbank working paper series 1 Working Paper Series / Sveriges Riksbank 1
Source
All
ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
Cover Image
Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10011442885
Saved in:
Cover Image
Risks in macroeconomic fundamentals and excess bond returns predictability
Rezende, Rafael B. De - Sveriges Riksbank - 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10011166104
Saved in:
Cover Image
Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
Saved in:
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