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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
Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …
Persistent link: https://www.econbiz.de/10011688099