南方科技大学知识苑(SUSTech KC): Term structure of interest rates with short-run and long-run risks

题名	Term structure of interest rates with short-run and long-run risks
作者	Grishchenko，Olesya V.1; Song，Zhaogang 2; Zhou，Hao3,4
通讯作者	Grishchenko，Olesya V.
发表日期	2022-11-01
DOI	10.1016/j.jfds.2022.09.001
发表期刊	Journal of Finance and Data Science 影响因子和分区
EISSN	2405-9188
卷号	8页码:255-295
摘要	We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk premium. These results are robust in a number of dimensions. We rationalize our findings within a consumption-based model with long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only, while standard forward-rate-based factors are associated with both short-run and long-run risks in the economy. Our model qualitatively replicates the predictability pattern of IRVRP for bond returns.
关键词	Bond return predictability Economic uncertainty Interest rate derivatives Interest rate variance risk premium Long-run risk Term structure of interest rates
相关链接	[Scopus记录]
语种	英语
学校署名	其他
Scopus记录号	2-s2.0-85141290840
来源库	Scopus
引用统计	被引频次[WOS]：3
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/411820
专题	南方科技大学
作者单位	1.Division of Monetary Affairs,Federal Reserve Board,Washington, DC,20551,United States 2.Carey School of Business,John Hopkins University,Baltimore,100 International Drive,21202,United States 3.SUSTech Business School,Southern University of Science and Technology,China 4.PBC School of Finance,Tsinghua University,Beijing,43 Chengfu Road, Haidian District,100083,China
推荐引用方式 GB/T 7714	Grishchenko，Olesya V.,Song，Zhaogang,Zhou，Hao. Term structure of interest rates with short-run and long-run risks[J]. Journal of Finance and Data Science,2022,8:255-295.
APA	Grishchenko，Olesya V.,Song，Zhaogang,&Zhou，Hao.(2022).Term structure of interest rates with short-run and long-run risks.Journal of Finance and Data Science,8,255-295.
MLA	Grishchenko，Olesya V.,et al."Term structure of interest rates with short-run and long-run risks".Journal of Finance and Data Science 8(2022):255-295.