A PREFERRED-HABITAT MODEL OF THE TERM STRUCTURE OF INTEREST RATES

• 成果类型: Article
• 署名作者: Vayanos, Dimitri; Vila, Jean-Luc
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17440
• 发表日期: 2021
• 页码: 77-112
• 关键词: risk; expectation; liquidity; maturity; puzzles; LIMITS; US

摘要

We model the term structure of interest rates that results from the interaction between investors with preferences for specific maturities and risk-averse arbitrageurs. Shocks to the short rate are transmitted to long rates through arbitrageurs' carry trades. Arbitrageurs earn rents from transmitting the shocks through bond risk premia that relate positively to the slope of the term structure. When the short rate is the only risk factor, changes in investor demand have the same relative effect on interest rates across maturities regardless of the maturities where they originate. When investor demand is also stochastic, demand effects become more localized. A calibration indicates that long rates underreact to forward-guidance announcements about short rates. Large-scale asset purchases can be more effective in moving long rates, especially if they are concentrated at long maturities.