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inflation risk premiums are also important. Cross-country nominal and inflation-linked yield correlations have declined since … variable from a habit model explains a substantive part of the variation in real yields and cross-country yield correlations …
Persistent link: https://www.econbiz.de/10012848948
Corporate bond returns in major developed economies increase with lower ratings and higher residual maturity. The performance of various factor models featuring corporate, sovereign and equity markets as factors suggests that the corporate bond factor plays a dominant role in explaining the...
Persistent link: https://www.econbiz.de/10012849546