Resolving the Spanning Puzzle in Macro-Finance Term Structure Models*
Work
Year: 2016
Type: article
Abstract: Most existing macro-finance term structure models (MTSMs) appear incompatible with regression evidence of unspanned macro risk. This “spanning puzzle” appears to invalidate those models in favor of ne... more
Source: Review of Finance
Authors Michael D. Bauer, Glenn D. Rudebusch
Institution Federal Reserve Bank of San Francisco
Cites: 67
Cited by: 78
Related to: 10
FWCI: 17.91
Citation percentile (by year/subfield): 99.99
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green