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Monetary policy uncertainty and economic fluctuations

Creal, Drew; Wu, Jing Cynthia - In: International economic review 58 (2017) 4, pp. 1317-1354

Persistent link: https://www.econbiz.de/10011860388

Liquidity risk and volatility risk in credit spread models : a unified approach

Perrakis, Stylianos; Zhong, Rui - In: European financial management : the journal of the … 23 (2017) 5, pp. 873-901

Persistent link: https://www.econbiz.de/10011865496

Restrictions on risk prices in dynamic term structure models

Bauer, Michael D. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 196-211

Persistent link: https://www.econbiz.de/10011894602

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Forward guidance, monetary policy uncertainty, and the term premium

Bundick, Brent; Herriford, Trenton; Smith, A. Lee - 2017

Persistent link: https://www.econbiz.de/10011763645

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017

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 …

Persistent link: https://www.econbiz.de/10011709342

Evaluation of long-dated assets : the role of parameter uncertainty

Gollier, Christian - In: Journal of monetary economics 84 (2016), pp. 66-83

Persistent link: https://www.econbiz.de/10011709636

The effect of uncertainty on the information content of term spread and its components

Kim, Jun Sik - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 2-28

excess return and growth of economic activity are positively related to the risk-neutral expectation, one of the term spread …

Persistent link: https://www.econbiz.de/10012592743

Risk shocks and credit spreads

Kwon, Dohyoung - In: Journal of macroeconomics 64 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012433738

Secular economic changes and bond yields

Feunou, Bruno; Fontaine, Jean-Sébastien - 2021 - Last updated: March 19, 2021

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not influence the long-run real rate or output growth....

Persistent link: https://www.econbiz.de/10012488074