analysis of individual factors/risk premiaexchange-traded funds and applicationsThe authors measure the aggregate state of the economy using variables motivated by the macro-finance literature. In particular, they focus on three specific meChousakos, Kyriakos...
Bond risk premia, macroeconomic fundamentals and the exchange rate We propose a two-country no-arbitrage term-structure model to analyze the joint dynamics of bond yields, macroeconomic variables and the exchange rate. The... PM Taboga - 《International Review of Economics & Finance》 被引量: 19...
The bond risk premium – or term premium – can be thought of as the premium investors earn from holding longer duration bonds as opposed to cash. In a sense, it is a measure of carry. Its theoretical basis is generally seen to be related to macroeconomic factors such as inflation and gr...