Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
987108 | Review of Financial Economics | 2009 | 9 Pages |
Abstract
At the turn of the century, US and euro area long-term bond yields experienced a remarkable decline and remained at historically low levels despite rising short-term rates (the so called “conundrum”). Estimating macro-finance VARs and no-arbitrage term structure models, many researchers find that the decline in long-term rates was primarily driven by an unprecedented reduction in risk premia. I show that this result might be an artefact of the class of models employed to study the phenomenon.
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marco Taboga,