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Bank excess returns and unconventional monetary policy

Yu, Sherry X. - In: Applied economics letters 26 (2019) 13, pp. 1067-1071

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Asset price momentum and monetary policy : time-varying parameter estimation of Taylor Rules

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Central bank reserves and the yield curve at the ZLB

Mirkov, Nikola; Sutter, Barbara - 2012

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The predictive density simulation of the yield curve with a zero lower bound

Kang, Kyu Ho - In: Journal of empirical finance 33 (2015), pp. 51-66

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Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

Persistent link: https://www.econbiz.de/10012063987

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...

Persistent link: https://www.econbiz.de/10012181201