美国国债市场的风险和风险溢价

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control Pub Date : 2023-11-10 DOI:10.1016/j.jedc.2023.104788

Junye Li , Lucio Sarno , Gabriele Zinna

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引用次数: 0

摘要

我们使用期限结构模型分析了美国国债市场的风险回报权衡，该模型具有多个来源的平均波动率效应，但保持了可处理的债券价格。我们发现，在1966年至2018年期间，风险与风险溢价之间存在很强的正相关关系。虽然利率风险是这种正相关关系的主要驱动因素，但宏观风险起着不可忽视的作用，其遗漏导致对权衡的估计不稳定。值得注意的是，宏观风险导致了20世纪80年代前后风险溢价的飙升和随后的下降，而在最近的“低收益”时期，宏观风险与风险溢价成反比。

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Risks and risk premia in the US Treasury market

We analyze the risk-return trade-off in the US Treasury market using a term structure model that features volatility-in-mean effects of multiple sources, and yet preserves tractable bond prices. We find a strong positive relation between risks and risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to the surge and consequent fall of risk premia around the 1980s, whereas it moves inversely with risk premia during the recent ‘low yield’ period.

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来源期刊

Journal of Economic Dynamics & Control ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

199

期刊介绍： The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.