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Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...
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bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …
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factors influence their yield. The goal of the research is to investigate the relationship between macroeconomic factors and … the yield of government bonds. We use regression models on a dataset of 22 countries with post-industrial economics for … between the yield of government bonds and gold. Moreover, we indicate a positive association between the yield of government …
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This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
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