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Zeroing in: Asset Pricing at the Zero Lower Bound. (2017). Bilal, Mohsan .
In: 2017 Meeting Papers.
RePEc:red:sed017:377.

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  1. Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds. (2022). Williams, John C ; Mertens, Thomas M ; Bok, Brandyn.
    In: Staff Reports.
    RePEc:fip:fednsr:94006.

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  2. Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds. (2022). Williams, John C ; Mertens, Thomas M ; Bok, Brandyn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:94005.

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  3. Risk Premia at the ZLB: A Macroeconomic Interpretation. (2020). Ngo, Phuong ; Gourio, Francois.
    In: Working Paper Series.
    RePEc:fip:fedhwp:92785.

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  4. Risk Premia at the ZLB: A Macroeconomic Interpretation. (2020). Gourio, Francois ; Ngo, Phuong.
    In: Working Paper Series.
    RePEc:fip:fedhwp:87504.

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  5. Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

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References

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  34. More results can be found in e.g., Greene (2011). Lemma 2. (Moments of a truncated lognormal distribution) If x ∼ N , σ2 and y = exp (x) then : E [yr ] = exp r + r2 σ2 /2 E [yr | y > a] = E [yr ] Φ (rσ − a0) Φ (−a0) E [yr | y ≤ b] = E [yr ] Φ (−rσ + b0) Φ (b0) where a0 = ln a − σ b0 = ln b − σ Also note that the donominators are respectively: Pr (y > a) = Φ (−a0) Pr (y ≤ b) = Φ (b0)
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