Working paper
Beauty contests and the term structure
- Abstract:
-
A novel decomposition highlights the scope for information to in uence the term structure of interest rates. Based on the law of total covariance, we show that real term premia in macroeconomic models contain a component that depends on covariances of realised stochastic discount factors and a component that depends on covariances of expectations of those stochastic discount factors. The impact of different informational assumptions can then be identified by looking at their effect on the sec...
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- Publication status:
- Published
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Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2018-02-27
- Paper number:
- 846
Item Description
- Keywords:
- Pubs id:
-
868967
- Local pid:
- pubs:868967
- Deposit date:
- 2020-12-14
Terms of use
- Copyright date:
- 2018
- Rights statement:
- Copyright 2018 The Author(s)
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