Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
构建了一个包含定价因子和体制转换风险的无套利动态期限结构模型，利用美国国债月度数据，发现定价的、状态依赖的体制转换风险在捕捉预期超额收益的时间变化中起关键作用，且不同波动率体制下收益因子风险成分的行为存在显著差异。
This article develops and empirically implements an arbitrage-free, dynamic term structure model with 'priced' factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with state-dependent transition probabilities. This model gives closed-form solutions for zero-coupon bond prices, an analytic representation of the likelihood function for bond yields, and a natural decomposition of expected excess returns to components corresponding to regime-shift and factor risks. Using monthly data on U.S. Treasury zero-coupon bond yields, we show a critical role of priced, state-dependent regime-shift risks in capturing the time variations in expected excess returns, and document notable differences in the behaviors of the factor risk component of the expected returns across high and low volatility regimes. Additionally, the state dependence of the regime-switching probabilities is shown to capture an interesting asymmetry in the cyclical behavior of interest rates. The shapes of the term structure of volatility of bond yield changes are also very different across regimes, with the well-known hump being largely a low-volatility regime phenomenon. , Oxford University Press.