Macro risks and the term structure of interest rates

• 成果类型: Article
• 署名作者: Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey
• 署名单位: Columbia University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Fordham University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.03.011
• 发表日期: 2021
• 页码: 479-504
• 关键词: Bond return predictability; Term premium; Macroeconomic volatility; business cycles; Macro risk factors

摘要

We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Macro risks represent the variables that govern the time-varying variance, skewness, and higher-order moments of these two shocks, with good (bad) variance associated with positive (negative) skewness. We document that macro risks significantly contribute to the variation of yields and risk premiums for nominal bonds. While overall bond risk premiums are countercyclical, an increase in aggregate demand variance significantly lowers risk premiums. Macro risks also significantly predict future realized bond return variances. (c) 2021 Elsevier B.V. All rights reserved.