@article{DataandCodefor:Ambiguity:4224,
      recid = {4224},
      author = {Zhao, Guihai},
      title = {Data and Code for: Ambiguity, Nominal Bond Yields, and  Real Bond Yields},
      publisher = {American Economic Association},
      address = {2020-05-28},
      abstract = {his paper presents an equilibrium bond-pricing model that  jointly explains the upward-sloping nominal and real yield  curves and the violation of the expectations hypothesis.  Instead of relying on the inflation risk premium, the  ambiguity-averse agent faces different amounts of Knightian  uncertainty in the long run versus the short run; hence the  model-implied nominal and real short rate expectations are  upward-sloping under the agent's worst-case equilibrium  beliefs. The expectations hypothesis roughly holds under  investors' worst-case beliefs. The difference between the  worst-case scenario and the true distribution makes  realized excess returns on long-term bonds predictable. <p>  <p> Data and code for peer-reviewed article published in  American Economic Review: Insights.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/4224},
      doi = {https://doi.org/10.3886/E111685V1},
}