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9186 Results

Bond Risk Premia and Gaussian Term Structure Models

Staff Working Paper 2014-13 Bruno Feunou, Jean-Sébastien Fontaine
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12
April 16, 2014

Monetary Policy Report - Press Conference (Video) - April 2014

Release of the Monetary Policy Report - (Videocast) Press conference by Governor Stephen S. Poloz and Senior Deputy Governor Tiff Macklem.

April 16, 2014

Monetary Policy Report - Press Conference (Audio) - April 2014

Release of the Monetary Policy Report - (Audiocast) Press conference by Governor Stephen S. Poloz and Senior Deputy Governor Tiff Macklem.

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