Nijman, Theo; Werker, Bas J.M.; Koijen, R.S.J. - Tilburg University, Center for Economic Research - 2005
-linked bonds are substantially reduced.We investigate as well the robustness of our results to time-variation in bond risk premia …, the riskiness of labor income, and correlation between labor income risk and financial risks.We find that especially … accounting for time-variation in bond risk premia and correlation between labor income risk and financial risks is important for …