Showing 1 - 10 of 614
Persistent link: https://www.econbiz.de/10011318315
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 account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
Persistent link: https://www.econbiz.de/10011494716
Persistent link: https://www.econbiz.de/10012666104
Persistent link: https://www.econbiz.de/10011645313
Persistent link: https://www.econbiz.de/10011846465
Persistent link: https://www.econbiz.de/10014426345
Persistent link: https://www.econbiz.de/10000864869
Persistent link: https://www.econbiz.de/10000139397
Persistent link: https://www.econbiz.de/10000636694