Short-Run Bond Risk Premia
In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast, long-term bond risk premia feature cyclical swings. We empirically examine the predictability of the market variance risk premium - a proxy of economic uncertainty - for bond risk pr...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
World Scientific Publishing Co. Pte Ltd
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |