UK Macroeconomic Volatility and the Term Structure of Interest Rates*
使用宏观金融模型，考察英国国债市场能否预测宏观经济波动性，发现债券收益率虽能提供有用信息，但结合宏观信息可构建更好的预测指标。
Abstract This study uses a macro‐finance model to examine the ability of the gilt market to predict fluctuations in macroeconomic volatility. The econometric model is a development of the standard ‘square root’ volatility model, but unlike the conventional term structure specification it allows for separate volatility and inflation trends. It finds that although volatility and inflation trends move independently in the short run, they are cointegrated. Bond yields provide useful information about macroeconomic volatility, but a better indicator can be developed by combining this with macroeconomic information.