DO STATIONARY RISK PREMIA EXPLAIN IT ALL - EVIDENCE FROM THE TERM STRUCTURE

• 成果类型: Article
• 署名作者: EVANS, MDD; LEWIS, KK
• 署名单位: University of Pennsylvania; New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(94)90004-3
• 发表日期: 1994
• 页码: 285-318
• 关键词: Interest rates; financial markets

摘要

Predictable variations in excess returns have often been attributed to the presence of time-varying risk premia. In this paper, we use an insight based upon new techniques from time series analysis to test whether stationary risk premia can alone explain the behavior of excess returns to long bonds relative to rolling over short rates. Surprisingly, we reject this hypothesis using U.S. T-bill returns. We then show that either permanent shocks to the risk premia and/or rationally anticipated shifts in the interest rate process could produce anomalous results.