Joslin is with the University of Southern California, Marshall School of Business. Priebsch is with the Federal Reserve Board. Singleton is with Stanford University, Graduate School of Business and NBER. We are grateful for feedback from seminar participants at MIT, Stanford University, the University of Chicago, the Federal Reserve Board and Federal Reserve Bank of San Francisco, the International Monetary Fund, and the Western Finance Association (San Diego), and for comments from Greg Duffee, Patrick Gagliardini, Imen Ghattassi, Monika Piazzesi, Oreste Tristani, and Jonathan Wright. An earlier version of this paper was circulated under the title “Risk Premium Accounting in Macro-Dynamic Term Structure Models.” The analysis and conclusions set forth in this paper are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors of the Federal Reserve System.
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Version of Record online: 8 MAY 2014
© 2014 the American Finance Association
The Journal of Finance
Volume 69, Issue 3, pages 1197–1233, June 2014
How to Cite
JOSLIN, S., PRIEBSCH, M. and SINGLETON, K. J. (2014), Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks. The Journal of Finance, 69: 1197–1233. doi: 10.1111/jofi.12131
- Issue online: 8 MAY 2014
- Version of Record online: 8 MAY 2014
- Accepted manuscript online: 26 FEB 2014 12:00AM EST
- Manuscript Accepted: 20 OCT 2013
- Manuscript Received: 7 OCT 2010
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