The Banking View of Bond Risk Premia

• 成果类型: Article
• 署名作者: Haddad, Valentin; Sraer, David
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12949
• 发表日期: 2020
• 页码: 2465-2502
• 关键词: transactions demand; MARKET; INFORMATION; liquidity; RIGIDITY; maturity; returns; prices; yields; MODEL

摘要

Banks' balance sheet exposure tofluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing fluctuations in interest rates. When banks' exposure to interest rate risk increases, the price of this risk simultaneously rises. We present a collection of empirical observations that support this view, but also discuss several challenges to this interpretation.