Yeltekin, Sevin; Lustig, Hanno; Sleet, Chris - Society for Economic Dynamics - SED - 2004
portfolio returns with a negative beta on government expenditure innovations. This paper asseses how well the government manages … innovations to government expenditures using standard VAR methodology and compute the beta of total government debt returns with … respect to these government expenditure innovations. In addition, we conduct an event study by identifying exogenous events …