An Equilibrium Model of Nominal Bond Prices with Inflation-Output Correlation and Stochastic Volatility
用向量自回归模型描述消费增长和通胀的联合动态，引入随机波动，并用数值方法近似债券价格，发现通胀波动的时间变化能产生现实的风险溢价变动，但平均幅度偏低。
A vector autoregressive (VAR) model is used to describe the joint dynamics of consumption growth and inflation. The commonly used homoscedastic VAR is extended to allow for stochastic volatility, driven by an unobservable autoregressive factor. Bond prices, the conditional expectation of a function of these factors, are approximated using Tauchen's quadrature method. We show that the mean, variance, and autocorrelation of yields is captured relatively well by the VAR-SV model, calibrated with inflation and consumption data. The co-dependents of consumption and inflation are shown to be important determinants for both real and nominal rates. Time variations in inflation volatility generate realistic variability of risk premia, but unrealistically low average magnitudes. Copyright 1993 by Ohio State University Press.