Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment /

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the em...

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Detalles Bibliográficos
Autor principal: Chami, Ralph
Otros Autores: Cosimano, Thomas, Rochon, Celine, Yung, Julieta
Formato: Revista
Lenguaje:English
Publicado: Washington, D.C. : International Monetary Fund, 2020.
Colección:IMF Working Papers; Working Paper ; No. 2020/053
Acceso en línea:Full text available on IMF