Author Archives: James_Hamilton

The term premium and reduced volatility

I earlier discussed the role that foreign government purchases of U.S. Treasury securities may have played in reducing long-term bond yields. A study by Fed researchers Glenn Rudebusch, Eric Swanson, and
Tao Wu that is soon to appear in
Monetary and Economic Studies explores an alternative explanation based on reduced volatility of underlying macroeconomic and financial fundamentals.

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