Question
5-year Treasury bonds yield 3.6%. The inflation premium (IP) is 1.9%, and the maturity risk premium (MRP) on 5-year T-bonds is 0.5%. There is no
5-year Treasury bonds yield 3.6%. The inflation premium (IP) is 1.9%, and the maturity risk premium (MRP) on 5-year T-bonds is 0.5%. There is no liquidity premium on these bonds. What is the real risk-free rate, r*?
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Credit Derivatives Handbook Global Perspectives Innovations And Market Drivers
Authors: Greg Gregoriou, Paul Ali
1st Edition
0071549528, 978-0071549523
