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Bank of Canada RSS Feedsen2024-03-28T10:21:24+00:00Expectation-Driven Term Structure of Equity and Bond Yields
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-21/
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).2022-05-11T15:27:58+00:00enExpectation-Driven Term Structure of Equity and Bond Yields2022-05-11Asset pricingFinancial marketsInterest ratesStaff Working Paper 2022-21https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-21.pdfMing ZengGuihai ZhaoMay 2022EE4E43GG0G00G1G12