The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach-Reference-Cited by-同舟云学术

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The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach

Published:2018-09 Issue: Volume:57 Page:164-182
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Lange Ronald Henry

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference50 articles.

1. The inflation risk premium: The impact of the financial crisis;Alexander de Rood,2013

2. The term structure of real rates and expected inflation;Ang;The Journal of Finance,2008

3. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables;Ang;Journal of Monetary Economics,2003

4. What does the yield curve tell us about GDP growth?;Ang;Journal of Econometrics,2006

5. Robust risk premia;Bauer;The Review of Financial Studies,2018

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach;International Review of Economics & Finance;2020-09

2. A re-evaluation of the term spread as a leading indicator;International Review of Economics & Finance;2019-11

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