Reexamining time-varying bond risk premia in the post-financial crisis era
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DOI: 10.1016/j.jedc.2019.103777
Abstract: Abstract Since the 2008 financial crisis, international interest rates have moved trivially over time, and have become less autocorrelated. Some previous empirical findings are thus no longer valid. This paper reexamines the changes in interest… read more here.
Keywords: financial crisis; time; bond risk; risk premia ... See more keywords