A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures
| Year of publication: |
2020
|
|---|---|
| Authors: | Diercks, Anthony M. |
| Other Persons: | Carl, Uri (contributor) |
| Publisher: |
[2020]: [S.l.] : SSRN |
| Subject: | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Theorie | Theory | Geldpolitik | Monetary policy | Risiko | Risk | Erwartungsbildung | Expectation formation | Derivat | Derivative | Geldmarkt | Money market | Messung | Measurement |
| Description of contents: |
In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium
Abstract [papers.ssrn.com]
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| Extent: | 1 Online-Ressource |
|---|---|
| Series: | FEDS Notes ; No. 2019-01-08 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2019-01-08 erstellt Volltext nicht verfügbar |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012850374