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unconventional monetary policy, QE, LSAP, portfolio balance, no arbitrage
dynamic term structure models, shadow rates, policy liftoff, macro-finance
yield curve, spanning, return predictability, robust inference, bootstrap
yield curve, spanning, bond returns, small-sample bias, robust inference
small-sample bias correction, vector auto-regression, dynamic term structure models, term premium
no-arbitrage, prices of risk, term premium, Markov-chain Monte Carlo, model selection
no-arbitrage, prices of risk, Bayesian model selection, term premium
yield curve, term structure models, macro-finance, unspanned macro risks, monetary policy
yield curve, term structure models, macro-finance, unspanned macro risk, monetary policy
yield curve, macro-finance, inflation trend, equilibrium real interest rate, shifting endpoints, bond risk premia
Yield Curve, Macro-Finance, Inflation Trend, Equilibrium Real Interest Rate, Shifting Endpoints, Bond Risk Premia
term structure of interest rates, macroeconomic news, term premium, no- arbitrage, market prices of risk, Bayesian inference
term premia, dynamic term structure model, small-sample bias
term structure of interest rates, no-arbitrage, news, monetary policy surprises, macroeconomic announcements, policy inertia
Monetary policy, zero lower bound, LSAP, signaling, portfolio balance, dynamic term structure model
inflation expectations, macroeconomic news, inflation compensation, TIPS, inflation swaps, survey expectations
monetary policy uncertainty, Federal Reserve, event study, monetary transmission, implied volatility
