Fiscal policy driven bond risk premia

• 成果类型: Article
• 署名作者: Bretscher, Lorenzo; Hsu, Alex; Tamoni, Andrea
• 署名单位: University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.010
• 发表日期: 2020
• 页码: 53-73
• 关键词: term structure; Bond risk premia; fiscal policy; uncertainty

摘要

Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope movements. Shocks to government spending level and uncertainty are also priced in the cross-section of bond and stock portfolios. Theoretically, government spending level shocks raise inflation when marginal utility is high, thus generating positive inflation risk premia (term structure level effect). Uncertainty shocks steepen the yield curve (slope effect), producing positive term premia. These effects are consistent with evidence from a structural vector autoregression. Asset pricing tests using model simulated data corroborate our empirical findings. (C) 2020 Elsevier B.V. All rights reserved.