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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Robust equilibrium yield curves
Kleshchelski, Isaac (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003742545
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Macro-expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - In: European economic review : EER 58 (2013), pp. 58-80
Persistent link: https://www.econbiz.de/10009713167
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Loss aversion, habit formation and the term structures of equity and interest rates
Curatola, Giuliano - In: Journal of economic dynamics & control 53 (2015), pp. 103-122
Persistent link: https://www.econbiz.de/10011526865
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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 … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10010478516
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Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430
Persistent link: https://www.econbiz.de/10010490848
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An empirical analysis of segmented pricing of bond systematic risk
Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464
Persistent link: https://www.econbiz.de/10010433255
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Yield Curve and Financial Uncertainty : Evidence Based on Us Data
Castelnuovo, Efrem - 2019
How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...
Persistent link: https://www.econbiz.de/10012867014
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Yield Curve and Financial Uncertainty : Evidence Based on US Data
Castelnuovo, Efrem - 2019
How does the yield curve respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962- 2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found to predict...
Persistent link: https://www.econbiz.de/10012868491
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The short duration premium
Gonçalves, Andrei S. - In: Journal of financial economics 141 (2021) 3, pp. 919-945
Persistent link: https://www.econbiz.de/10012873075