Bollerslev, Tim; Gibson, Michael; Zhou, Hao - Federal Reserve Board (Board of Governors of the … - 2004
Treasuries (0.19) likely reflects a business cycle e ect
(i.e., credit spreads tend to be high before a downturn which usually … fourth strand of the literature focuses on models in which the risk premium are modeled
as varying over longer-run business … cycle frequencies. For example, Campbell and Cochrane
(1999) generate time variation in risk aversion through habit …