Information in the Term Structure of Yield Curve Volatility

• 成果类型: Article
• 署名作者: Cieslak, Anna; Povala, Pavol
• 署名单位: Duke University; University of London
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12388
• 发表日期: 2016
• 页码: 1393-1436
• 关键词: STRUCTURE MODELS; stochastic volatility; RISK; TREASURY; bond; expectations; covariance; premia; MARKET; rates

摘要

Using a novel no-arbitrage model and extensive second-moment data, we decompose conditional volatility of U.S. Treasury yields into volatilities of short-rate expectations and term premia. Short-rate expectations become more volatile than premia before recessions and during asset market distress. Correlation between shocks to premia and shocks to short-rate expectations is close to zero on average and varies with the monetary policy stance. While Treasuries are nearly unexposed to variance shocks, investors pay a premium for hedging variance risk with derivatives. We illustrate the dynamics of the yield volatility components during and after the financial crisis.