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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

Asset pricing with regime-dependent preferences and learning

Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013

of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …

Persistent link: https://www.econbiz.de/10010256362

Interest rate uncertainty and economic fluctuations

Creal, Drew; Wu, Jing Cynthia - 2014

Persistent link: https://www.econbiz.de/10010431316

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Credit spread and employment growth : a time-varying relationship?

Nordström, Martin - In: Applied economics letters 28 (2021) 1, pp. 23-31

Persistent link: https://www.econbiz.de/10012415041

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

Persistent link: https://www.econbiz.de/10014362538