| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28444 |
| 来源ID | Working Paper 28444 |
| The Price and Quantity of Interest Rate Risk | |
| Jennifer N. Carpenter; Fangzhou Lu; Robert F. Whitelaw | |
| 发表日期 | 2021-02-08 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the government bond market to its first two principal-component bond-factor portfolios. For each bond-factor portfolio, we estimate the joint dynamics of its volatility and Sharpe ratio as functions of yield curve variables, and of VIX in the US. We have three main findings. (1) There is an important second factor in bond risk premia. (2) Time variation in bond return volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk, as no-arbitrage theory predicts. Our approach also allows us to document interesting cyclical and secular time-variation in the term structure of bond risk premia in both the US and China. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w28444 |
| 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/586117 |
| 推荐引用方式 GB/T 7714 | Jennifer N. Carpenter,Fangzhou Lu,Robert F. Whitelaw. The Price and Quantity of Interest Rate Risk. 2021. |
| 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 | ||
| w28444.pdf（616KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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