EE
US-Ger US-UK
US/GE SR
0 12 3 4
years
BIG
Eich.-Evans
⅛
US-Japan
1.5
1
0.5
0
∖-χ—
0 12 3 4
years
Figure 12: Impulse responses for the Sharpe ratio for one-period arbitrage
trades ξk between k - 1 and k of a Bayesian investor, conditional on a US
monetary policy contraction.
45
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