Expectations and risk premia at 8:30am : deciphering the responses of bond yields to macroeconomic announcements

Peter Hördahl, Eli M. Remolona, and Giorgio Valente

Year of publication:	[2017]
Authors:	Hördahl, Peter ; Remolona, Eli M. ; Valente, Giorgio
Publisher:	Hong Kong : Hong Kong Institute for Monetary Research
Subject:	affine models \| bond excess returns \| economic announcements \| term structure of interest rates \| Zinsstruktur \| Yield curve \| Ankündigungseffekt \| Announcement effect \| Risikoprämie \| Risk premium \| Kapitaleinkommen \| Capital income \| Anleihe \| Bond \| Öffentliche Anleihe \| Public bond \| CAPM \| Theorie \| Theory \| Erwartungsbildung \| Expectation formation

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