Essays on the term structure of interest rates and long-run risks

Essays on the term structure of interest rates and long-run risks

Stocks, Bonds, and Long-Run Consumption Risks. Bansal and Yaron (2004) show that long-run consumption risks and time-varying economic uncertainty in conjunction with recursive preferences can account for important features of equity markets. I bring the model to the term structure of interest rates...

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Bibliographic Details
Main Author: Henrik, Hasseltoft
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Finansiell Ekonomi (FI) 2009
Subjects:
Term structure of interest rates
Fed Model
Money Illusion
Stock-Bond Correlation
Economic uncertainty
Inflation
Inflation volatility
Long-Run Risk
Epstein-Zin
Asset Pricing
Affine model
Local and global factors
Time-varying
Business and economics
Ekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-925
http://nbn-resolving.de/urn:isbn:978-91-7258-805-9

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-925
http://nbn-resolving.de/urn:isbn:978-91-7258-805-9

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