| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26369 |
| 来源ID | Working Paper 26369 |
| The Banking View of Bond Risk Premia | |
| Valentin Haddad; David A. Sraer | |
| 发表日期 | 2019-10-14 |
| 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 ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w26369 |
| 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/584043 |
| 推荐引用方式 GB/T 7714 | Valentin Haddad,David A. Sraer. The Banking View of Bond Risk Premia. 2019. |
| 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 | ||
| w26369.pdf（691KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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