A Factor Analysis of Bond Risk Premia
收藏NBER2009-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15188
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资源简介：
This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal components. We
提供机构：
美国国家经济研究局
创建时间：
2009-07-01
