Inflation risk premia and the expectations hypothesis

被引:80
作者
Buraschi, A
Jiltsov, A
机构
[1] London Business Sch, Inst Finance, London NW1 4SA, England
[2] Lehman Brothers, London, England
关键词
term structure; bond prices; inflation; expectations hypothesis; risk premium;
D O I
10.1016/j.jfineco.2004.07.003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study the properties of the nominal and real risk premia of the term structure of interest rates. We develop and solve the bond pricing implications of a structural monetary version of a real business cycle model, with taxes and endogenous monetary policy. We show the relation of this model with the class of essentially affine models that incorporate an endogenous state-dependent market price of risk. We characterize and estimate the inflation risk premium and find that over the last 40 years the ten-year inflation risk premium has been has averaged 70 basis points. It is time-varying, ranging from 20 to 140 basis points over the business cycle and its term structure is sharply upward sloping. The inflation risk premium explains 23% (42%) of the time variation in the five (ten)-year forward risk premium and it plays an important role in help explain deviations from the expectations hypothesis of interest rates. (C) 2004 Published by Elsevier B.V.
引用
收藏
页码:429 / 490
页数:62
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