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Kumar et al., 2023 - Google Patents

Market volatility, monetary policy and the term premium

Kumar et al., 2023

Document ID
116879808302123341
Author
Kumar A
Mallick S
Mohanty M
Zampolli F
Publication year
Publication venue
Oxford Bulletin of Economics and Statistics

External Links

Snippet

In this article, we use time‐varying VAR models to study the effects of option‐implied measures of equity and bond market volatilities on the government bond term premium and key macroeconomic variables. We show that the high correlation between the two volatilities …
Continue reading at onlinelibrary.wiley.com (other versions)

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