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The bond market term premium: what is it, and how can we measure it?

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References

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2008The role of no-arbitrage on forecasting: Lessons from a parametric term structure model54 cited
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2011No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

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38 cited

2010No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth38 cited

2008Challenges in Macro-Finance Modeling32 cited

2020Monetary transmission: Are emerging market and low-income countries different?15 cited

2018A Shadow Rate Without a Lower Bound Constraint15 cited