A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

• 成果类型: Article
• 署名作者: Bansal, Ravi; Shaliastovich, Ivan
• 署名单位: University of Pennsylvania; Duke University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs108
• 发表日期: 2013
• 页码: 1
• 关键词: TIME-VARYING RISK; term structure; asset returns; monetary-policy; interest-rates; consumption; premium; models; substitution; uncertainty

摘要

We show that bond risk premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a long-run risks model with timevarying volatilities of expected growth and inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in currency markets. We find that preference for early resolution of uncertainty, time-varying volatilities, and non-neutral effects of inflation on growth are important to account for these aspects of asset markets.