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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Bibliografske podrobnosti
Glavni avtor: Chami, Ralph
Drugi avtorji: Cosimano, Thomas, Rochon, Celine, Yung, Julieta
Format: Revija
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 2020.
Serija:IMF Working Papers; Working Paper ; No. 2020/053
Online dostop:Full text available on IMF