specifications, while the estimates on risk factors appear more sensitive to the choice of term premium specification. Based on …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates … is strongly related to the amount of maturity-transformation risk that these deposit accounts create. The cost is also …

over horizons of up to one year. -- Bond Yields ; Expectations Hypothesis ; Time-varying Risk Premia ; Term Premia …Die empirische Literatur zur Zinsstruktur zeigt, dass sich langfristige Zinsen nicht - wie dies die sogenannte …