A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
收藏NBER2012-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w18357
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资源简介：
We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a long
提供机构：
美国国家经济研究局
创建时间：
2012-09-01
