The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r
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- Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," NBER Working Papers 26560, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Bond risk premia; Natural rate of interest; Inflation expectations; Term structure; Affine models;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2020-07-27 (Macroeconomics)
- NEP-MON-2020-07-27 (Monetary Economics)
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