Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
成果类型：
Article
署名作者：
Joslin, Scott; Priebsch, Marcel; Singleton, Kenneth J.
署名单位：
University of Southern California; Federal Reserve System - USA; Federal Reserve System Board of Governors; Stanford University; National Bureau of Economic Research
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.12131
发表日期：
2014
页码：
1197-1233
关键词：
摘要：
This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by output and inflation risks that are unspanned by (imperfectly correlated with) information about the shape of the yield curve. Our model reveals that, between 1985 and 2007, these risks accounted for a large portion of the variation in forward terms premiums, and there was pronounced cyclical variation in the market prices of level and slope risks.
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