LONG‐RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION
估计了一个模型，其中预期消费增长、预期通胀及其时变波动率的持续波动决定了资产价格变化。分析1953-2006年美国名义期限结构数据发现，投资者厌恶高不确定性并要求波动率风险补偿，且期限溢价时变主要由通胀波动率风险驱动，这与调查数据等实证证据一致。
SUMMARY This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time‐varying volatility determine asset price variation. The model features Epstein–Zin recursive preferences, which determine the market price of macro risk factors. Analysis of the US nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. Also, the time variation of the term premium is driven by the compensation for inflation volatility risk, which is distinct from consumption volatility risk. The central role of inflation volatility risk in explaining the time‐varying term premium is consistent with other empirical evidence including survey data. In contrast, the existing long‐run risks literature emphasizes consumption volatility risk and ignores inflation‐specific time‐varying volatility. The estimation results of this paper suggest that inflation‐specific volatility risk is essential for fitting the time series of the US nominal term structure data. Copyright © 2012 John Wiley & Sons, Ltd.