| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8167 |
| 来源ID | Working Paper 8167 |
| Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure | |
| Qiang Dai; Kenneth J. Singleton | |
| 发表日期 | 2001-03-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory,' we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all of the key empirical findings reported by Fama and Bliss and Campbell and Shiller, among others, within large subclasses of affine and quadratic-Gaussian term structure models. Additionally, we show that certain risk-premium adjusted' projections of changes in yields on the slope of the yield curve recover the coefficients of unity predicted by the models. Key to this matching are parameterizations of the market prices of risk that let the risk factors affect the market prices of risk directly, and not only through the factor volatilities. The risk premiums have a simple form consistent with Fama's findings on the predictability of forward rates, and are shown to also be consistent with interest rate, feedback rules used by a monetary authority in setting monetary policy. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w8167 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565763 |
| 推荐引用方式 GB/T 7714 | Qiang Dai,Kenneth J. Singleton. Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8167.pdf（471KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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