Government bond risk and return in the US and China

• 成果类型: Article
• 署名作者: Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F.
• 署名单位: New York University; University of Hong Kong; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104224
• 发表日期: 2026-02
• 页码: 104224
• 关键词: Bond risk premia; Bond sharpe ratios; Interest rate volatility; US treasury bonds; Chinese government bonds; No arbitrage; Principal components analysis; TERM STRUCTURE DYNAMICS; structure models; monetary-policy; stock returns; MARKET PRICE; premia; uncertainty; INFORMATION; volatility

摘要

We propose a new approach to modeling bond risk and risk premia, inspired by the equity risk-return literature, which does not impose the tight restrictions found in models that generate closed-form bond prices. We estimate the joint dynamics of the volatility and Sharpe ratio of principal-component bond-factor portfolios for the US and China. Predictors include yield curve variables and, for the US, VIX. We document complex time-varying relations between the price and quantity of interest rate risk inconsistent with the frameworks in existing studies. Interesting differences between the US and China further highlight the need for our more flexible approach.