Bond Market Exposures to Macroeconomic and Monetary Policy Risks

• 成果类型: Article
• 署名作者: Song, Dongho
• 署名单位: Boston College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx039
• 发表日期: 2017
• 页码: 2761
• 关键词: term structure; interest-rates; long-run; regime switches; stock returns; inflation; models; puzzles; shifts; expectations

摘要

The paper estimates a model that allows for shifts in the aggressiveness of monetary policy and time variation in the distribution of macroeconomic shocks. These model features induce variations in the cyclical properties of inflation and the riskiness of bonds. The estimation identifies inflation as procyclical from the late 1990s, when the economy shifted toward aggressive monetary policy and experienced procyclical macroeconomics shocks. Since bonds hedge stock market risks when inflation is procylical, the stock-bond return correlation turned negative in the late 1990s. The risks of encountering countercyclical inflation in the future could lead to an upward-sloping yield curve, like in the data.