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Real and Nominal Equilibrium Yield Curves with Endogenous Inflation: A Quantitative Assessment
(2014-10)
The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and quantitatively in a model with nominal rigidities and monetary policy. The interest-rate policy rule becomes a ...
Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures
(2014-10)
Firm-level risk exposures and costs of equity are notoriously difficult to estimate. Using a novel approach mapping consumption risk exposures to firm characteristics, we combine the traditional portfolio-level approach ...