Do Bonds Span Volatility Risk in the US Treasury Market? A Specification Test for Affine Term Structure Models

• 成果类型: Article
• 署名作者: Andersen, Torben G.; Benzoni, Luca
• 署名单位: Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01546.x
• 发表日期: 2010
• 页码: 603-653
• 关键词: UNSPANNED STOCHASTIC VOLATILITY; time price discovery; microstructure noise; econometric-analysis; equilibrium-model; realized variance; economic-news; STOCK; DYNAMICS; rates

摘要

We propose using model-free yield quadratic variation measures computed from intraday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield curve fails to span realized yield volatility in the U.S. Treasury market, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, quadratic Gaussian, and affine jump-diffusive models cannot accommodate the observed yield volatility dynamics. Hence, the Treasury market per se is incomplete, as yield volatility risk cannot be hedged solely through Treasury securities.