Haku
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Why does risk matter more in recessions than in expansions?
(05.10.2021)
Bank of Finland Research Discussion Papers 13/2021
Bank of Finland Research Discussion Papers 13/2021
This paper uses a nonlinear vector autoregression and a non-recursive identification strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) ...
Yield curve momentum
(16.11.2021)
Bank of Finland Research Discussion Papers 15/2021
Bank of Finland Research Discussion Papers 15/2021
I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. ...