| dc.contributor | 金融系 | |
| dc.creator (作者) | 趙世偉 | |
| dc.creator (作者) | Chao, Shih-Wei | |
| dc.date (日期) | 2018-12 | |
| dc.date.accessioned | 19-十二月-2019 14:39:42 (UTC+8) | - |
| dc.date.available | 19-十二月-2019 14:39:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-十二月-2019 14:39:42 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/127923 | - |
| dc.description.abstract (摘要) | The paper evaluates whether a long-run risk model with endogenous inflation accounts for the U.S. term structure and bond risk premium across three distinctive historical periods. In addition to the fit of the average yield curve, the model generates positive bond risk premium that increases in maturity for all periods and reasonably describes the evolutions of term premium over time with some quantitative discrepancies. Since the model tightly links bond risk premium to long-short yields difference, the main challenge is to rationalize large (small) bond risk premium with small (large) slope of the yield curve. | |
| dc.format.extent | 127 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Financial Studies, Vol.26, No.4, pp.131-153 | |
| dc.subject (關鍵詞) | Long-run risk ; bond risk premium ; inflation target ; monetary policy shock | |
| dc.title (題名) | Long-Run Risk, Monetary Policy and Bond Risk Premium | |
| dc.type (資料類型) | article | |
