An asset pricing approach to testing general term structure models

• 成果类型: Article
• 署名作者: Christensen, Bent Jesper; van der Wel, Michel
• 署名单位: Aarhus University; Aarhus University; Aarhus University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tinbergen Institute; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.03.010
• 发表日期: 2019
• 页码: 165-191
• 关键词: Bond aging effect; Macroeconomic conditioning variables; Nonlinear drift restriction; Time-varying risk premiums; Yield curve model

摘要

We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premiums and arbitrage opportunities in models with both unobservable factors and factors identified as the innovations to observed macroeconomic variables. Factors can play double roles as both covariance-generating common shocks driving yields and determinants of market prices of risk in cross-sectional pricing. The evidence favors time-varying risk prices significantly related to the second Stock-Watson principal component of macroeconomic variables and to changes in the industrial production index. Our preferred specification includes these two observable and two unobservable factors, with the no-arbitrage condition imposed. (C) 2019 Elsevier B.V. All rights reserved.