| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13874 |
| DP13874 The Term Structure of Government Debt Uncertainty | |
| Antonio Mele; Yoshiki Obayashi; Shihao Yang | |
| 发表日期 | 2019-07-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | How valuable would it be to mitigate government debt volatility? This paper introduces a model that accounts for the complex structure of expected volatility in government bond markets and provides predictions regarding the fair value of derivatives referenced to this expected volatility. The model predicts that, unlike equity markets, futures markets on government bond volatilities frequently oscillate between episodes of backwardation and contango. This property helps explain events such as the reaction of the U.S. Treasury volatility curve to shocks including unanticipated Fed decisions or global economic imbalances. The paper provides quasi-closed form solutions that can readily be implemented despite the high-dimensional no-arbitrage restrictions that underlie the model dynamics. |
| 主题 | Financial Economics |
| 关键词 | Fixed income volatility Information content of government bond volatility Government bond variance swaps Treasury markets |
| URL | https://cepr.org/publications/dp13874-2 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542750 |
| 推荐引用方式 GB/T 7714 | Antonio Mele,Yoshiki Obayashi,Shihao Yang. DP13874 The Term Structure of Government Debt Uncertainty. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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