Term Premia in Affine Term Structure Models with Unspanned Macroeconomic Factors: the Case of Korea

Jaeho Yun
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Abstract

Using the yield data for Korean government bonds, I examine several discrete-time affine term structure models with unspanned macro factors, such as output and inflation, and compares term premia implied from alternative models with different combinations of output and inflation variables. Empirical analysis shows that, except for 1-year maturity ones, there is little difference among the medium- to long-term term premia across alternative models. The model-implied term premium estimates do not show a significant pro- or counter-cyclicality in relation to output variables, but show a highly positive correlation with inflation variables. In addition, I test the traditional expectation hypothesis by fitting Campbell-Shiller long-rate regressions to the Korean bond data, the expectation hypothesis is strongly rejected as in the case of the US, due to time-varying term premia, and an additional Monte Carlo simulation study indicates that the term structure models considered in this paper show a success in matching the regression coefficients estimated from the sample.
具有非跨越宏观经济因素的仿射期限结构模型中的期限溢价:以韩国为例
使用韩国政府债券的收益率数据,我研究了几种具有未跨越的宏观因素(如产出和通货膨胀)的离散时间仿射期限结构模型,并比较了具有不同产出和通货膨胀变量组合的替代模型所隐含的期限溢价。实证分析表明,除1年期外,各备选模型的中长期溢价差异不大。模型隐含的期限溢价估计在产出变量方面没有显示出显著的顺周期性或反周期性,但与通货膨胀变量显示出高度正相关。此外,我通过将Campbell-Shiller长期利率回归拟合到韩国债券数据来检验传统的期望假设,由于时间变化的期限溢价,期望假设与美国的情况一样被强烈拒绝,另外的蒙特卡罗模拟研究表明,本文考虑的期限结构模型成功地匹配了从样本中估计的回归系数。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Economic Theory and Econometrics
Journal of Economic Theory and Econometrics Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
0.40
自引率
0.00%
发文量
9
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