Are variations in term premia related to the macroeconomy ?

@inproceedings{Duffee2005AreVI,
  title={Are variations in term premia related to the macroeconomy ?},
  author={Gregory R. Duffee},
  year={2005}
}
  • Gregory R. Duffee
  • Published 2005
There is little statistically reliable evidence that time-varying term premia are related to short-term interest rates, inflation, or output growth. ∗Voice 510-642-1435, email duffee@haas.berkeley.edu. Address correspondence to 545 Student Services Building #1900, Berkeley, CA 94720. Thanks to participants at a Federal Reserve Board workshop for helpful comments. This paper will eventually appear at http://faculty.haas.berkeley.edu/duffee/. 

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