Blar i Centre for Applied Macro- and Petroleum economics (CAMP) på forfatter "Zhu, Dan"
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Uncertainty and the Term Structure of Interest Rates
Cross, Jamie L.; Poon, Aubrey; Zhu, Dan (CAMP Working Paper Series;12/2023, Working paper, 2023-10-13)We present a new stylized fact about the link between uncertainty and the term structure of interest rates: Unexpectedly heightened uncertainty elicits a lower, steeper, and flatter yield curve. This result is established ...