A Closer Look at the Sensitivity Puzzle: The Sensitivity of Expected Future Short Rates and Term Premia to Macroeconomic News
Preprint
- 1 January 2007
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
Nominal forward rates are sensitive at surprisingly long horizons to macroeconomic news and monetary-policy surprises. This paper takes advantage of affine termKeywords
All Related Versions
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