全球智库信息集成服务系统(G2TT): Bond Risk Premia in Consumption-based Models

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22183
来源ID	Working Paper 22183
	Bond Risk Premia in Consumption-based Models
	Drew D. Creal; Jing Cynthia Wu
发表日期	2016-04-25
出版年	2016
语种	英语
摘要	Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We reconcile these competing channels by introducing a novel form of external habit into an otherwise standard model with recursive preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected inflation risk that co-moves with expected inflation itself.
主题	Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w22183
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/579857
推荐引用方式 GB/T 7714	Drew D. Creal,Jing Cynthia Wu. Bond Risk Premia in Consumption-based Models. 2016.