The Banking View of Bond Risk Premia
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下载链接：
https://www.nber.org/papers/w26369
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资源简介：
Banks' balance-sheet exposure to fluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing
提供机构：
美国国家经济研究局
创建时间：
2019-10-01
