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interest rates, exchange rate growth, and inflation. We then decompose the Swiss long-term interest rate trend into various … decline in the level of inflation. Comparing Switzerland with the rest of the world, we show that while Swiss real interest … connection between inflation risk and the Swiss term spread, as well between relative inflation risk and the difference between …
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This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
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