Zhaogang Song

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

2

DOWNLOADS

89

CITATIONS

2

Scholarly Papers (2)

Term Structure of Interest Rates with Short-Run and Long-Run Risks

FEDS Working Paper No. 2015-95
Number of pages: 65 Posted: 13 Nov 2015
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 63 (347,994)

Abstract:

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Long-run risk, economic uncertainty, term structure of interest rates, bond risk premium, variance risk premium, predictability, interest rate derivatives

2.

An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve

FEDS Working Paper No. 2015-082, http://dx.doi.org/10.17016/FEDS.2015.082
Number of pages: 20 Posted: 07 Oct 2015
Pietro Bonaldi, Ali Hortacsu and Zhaogang Song
University of Chicago, University of Chicago - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 26 (481,064)

Abstract:

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Agency MBS, Auction, Nonparametric