Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10003769102
Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...
Persistent link: https://www.econbiz.de/10010476670