Inflation risk premia and the expectations hypothesis

• 成果类型: Article
• 署名作者: Buraschi, A; Jiltsov, A
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.07.003
• 发表日期: 2005
• 页码: 429-490
• 关键词: term structure; Bond prices; inflation; expectations hypothesis; Risk premium

摘要

We study the properties of the nominal and real risk premia of the term structure of interest rates. We develop and solve the bond pricing implications of a structural monetary version of a real business cycle model, with taxes and endogenous monetary policy. We show the relation of this model with the class of essentially affine models that incorporate an endogenous state-dependent market price of risk. We characterize and estimate the inflation risk premium and find that over the last 40 years the ten-year inflation risk premium has been has averaged 70 basis points. It is time-varying, ranging from 20 to 140 basis points over the business cycle and its term structure is sharply upward sloping. The inflation risk premium explains 23% (42%) of the time variation in the five (ten)-year forward risk premium and it plays an important role in help explain deviations from the expectations hypothesis of interest rates. (C) 2004 Published by Elsevier B.V.