Macroeconomic Uncertainty , Difference in Beliefs , and Bond Risk Premia

@inproceedings{Buraschi2011MacroeconomicU,
  title={Macroeconomic Uncertainty , Difference in Beliefs , and Bond Risk Premia},
  author={Andrea Buraschi and Paul Whelan},
  year={2011}
}
In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market risk premia. If there is a source of heterogeneity in the belief structure of the economy then differences in beliefs can affect equilibrium asset prices, and the dynamics of disagreement may generate a source of predictable variation in excess bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and inflation… CONTINUE READING

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