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Rate Risk and Rate Insurance

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NBER2026-08-01 更新2026-08-28 收录
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I decompose stock returns into a duration-matched Treasury component, identified from monetary policy surprises, and a payoff component. Risk and returns rise much less with duration for stocks than for their matched Treasuries. Stock volatility is dampened by rate insurance: rates fall in bad times

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2026-08-01
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