An Equilibrium Term Structure Model with Recursive Preferences
指出，现有均衡资产定价模型通常假设风险的市场价格不变，但债券市场数据表明风险价格随时间变化更重要。作者构建了一个保留递归偏好且允许风险价格时变的动态期限结构模型。
Equilibrium, affine asset pricing models with Larry G. Epstein and Stanley E. Zin (1989)’s preferences typically generate time variation in risk premiums through time variation in the quantity of risks, with the market prices of risks (MPR) held constant. This is true of models with built in long-run consumption risks (LRR) (e.g., Ravi Bansal and Amir Yaron (2004), Bansal, Dana Kiku, and Yaron (2009)), as well as of the broader formulations in Bjorn Eraker and Ivan Shaliastovich (2008). For pricing bonds such formulations may be overly constrained as reduced form models suggest that it is time variation in the MPRs, more than stochastic yield volatilities, that resolve the expectations puzzles in bond markets. Constant MPRs are not an inherent feature of equilibrium pricing models with recursive preferences, but rather they arise as a consequence of the linearizations underlying the affine approximations to these models that have been explored empirically. The essential ingredients of these econometric formulations are (P1) recursive (Epstein-Zin) preferences, (P2) risk neutral (핈), affine pricing, and (P3) the assumption that the state of the economy is described by an affine process under the historical (핇) distribution. Key to achieving property (P2), given P1 and P3, is the assumption that the valuation ratio (the log “price/consumption” ratio) associated with the claim that pays aggregate consumption is an affine function of the state. We develop a dynamic term structure model with recursive preferences that preserves