Sökning: "Federico Valenza"

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  1. 1. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Philip Hamnå; Federico Valenza; [2017]
    Nyckelord :Macroeconomic uncertainty; Bond risk premia; Countercyclical; Semi-variance;

    Sammanfattning : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. LÄS MER