Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

被引：226

作者：

Joslin, Scott ^{[1
]}

Priebsch, Marcel ^{[2
]}

Singleton, Kenneth J. ^{[3
,4
]}

机构：

[1] Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA

[2] Fed Reserve Board, Washington, DC 20551 USA

[3] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA

[4] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCE | 2014年 / 69卷 / 03期

关键词：

D O I：

10.1111/jofi.12131

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by output and inflation risks that are unspanned by (imperfectly correlated with) information about the shape of the yield curve. Our model reveals that, between 1985 and 2007, these risks accounted for a large portion of the variation in forward terms premiums, and there was pronounced cyclical variation in the market prices of level and slope risks.

引用

页码：1197 / 1233

页数：37

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