This study aims to examine short- and long-run effects of specific macroeconomic conditions on risk premium estimates on lending.
Empirical estimates are based on error correction and autoregressive distributed lag models.
The results suggest that, in the short run, inflation expectations, recession expectations and actual inflationary conditions tend to have a significant impact on risk premium estimates; in the long run, however, only inflation expectations and recession expectations are significant in risk premium estimates on lending.
This study examines how specific conditions of uncertainty and expectations influence variability in risk premium estimates on lending in the US economy.
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