| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14207 |
| DP14207 The Banking View of Bond Risk Premia | |
| David Sraer; Valentin Haddad | |
| 发表日期 | 2019-12-17 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Banks' balance-sheet exposure to fluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing fluctuations in interest rates. When banks' exposure to interest rate risk increases, the price of this risk simultaneously rises. We present a collection of empirical observations supporting this view, but also discuss several challenges to this interpretation. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp14207 |
| 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/543094 |
| 推荐引用方式 GB/T 7714 | David Sraer,Valentin Haddad. DP14207 The Banking View of Bond Risk Premia. 2019. |
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