Martin Andreasen

University of Calgary

University Drive

Calgary, Alberta T2N 1N4

Canada

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Bond Risk Premiums at the Zero Lower Bound

FEDS Working Paper No. 2019-040
Number of pages: 43 Posted: 25 Jul 2019 Last Revised: 21 Oct 2019
Martin Andreasen, Kasper Jørgensen and Andrew Meldrum
University of Calgary, Federal Reserve Board and Board of Governors of the Federal Reserve System
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Abstract:

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Dynamic Term Structure Model, Bond Return Predictability, Regime-Switching, Shadow Rate Model, Structural Break