Demand–Supply Imbalance Risk and Long-Term Swap Spreads
We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...
DP 118
News Shocks and Asset Prices
We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that...
DP 34