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Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work evaluating the EH generally assumes either full-information...
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contributes to generating different serial dependence patterns of excess returns: rational expectations risk premium models tend …
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We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …
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We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectationsaugmented specification reduces pricing and premium …
Persistent link: https://www.econbiz.de/10014381149
bond risk premia modelling, the locally selected variables and their estimated coefficient loadings identified the longest …
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