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Bond pricing and the macroeconomy
Duffee, Greg - 2012 - This version June 2012
This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...
Persistent link: https://www.econbiz.de/10009542321
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Measuring yields : arithmetic, geometric and horizon-consistent average
Dvořák, Michal - In: Prague economic papers : a bimonthly journal of … 25 (2016) 3, pp. 335-353
Persistent link: https://www.econbiz.de/10011535465
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Term structure of risk factor premiums used for pricing asset : emerging vs. developed markets
González Sánchez, Mariano - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 5, pp. 1339-1358
Persistent link: https://www.econbiz.de/10013167085
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Term structure persistence
Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352
Persistent link: https://www.econbiz.de/10011589005
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Interest rates under falling stars
Bauer, Michael D.; Rudebusch, Glenn D. - 2017
Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …
Persistent link: https://www.econbiz.de/10011688099
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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
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Beauty contests and the term structure
Ellison, Martin; Tischbirek, Andreas - 2018
Persistent link: https://www.econbiz.de/10012172387
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Equilibrium yield curves with imperfect information
Tanaka, Hiroatsu - 2022 - This draft: December 2022
Persistent link: https://www.econbiz.de/10014282928
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Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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The real estate risk of hospitality firms : examining stock-return sensitivity to property values
Lee, Seul Ki; Jang, Soocheong - In: International journal of hospitality management 31 (2012) 3, pp. 695-702
Persistent link: https://www.econbiz.de/10009544320