Conditional Time-Varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market
利用无违约风险的国库券期货数据，发现虽然平均超额收益为零，但存在显著时变的条件利率风险溢价，且该溢价与自身条件方差及股票溢价的条件协方差正相关，在1979-82年高波动时期较大。
Existing studies of the term structure of interest rates often use spot Treasury rates to represent default-free interest rates. However, part of the premium in Treasury rates is compensation for the risk that short-sellers may default. Since Treasury bill futures are default-free, they provide cleaner data to estimate the interest rate risk premium. The mean excess return in defaultfree Treasury bill futures is zero. This suggests that the interest rate risk premium could be economically negligible. We find that although the mean unconditional premium is zero, futures returns contain economically and statistically significant time-varying conditional interest rate risk premiums. The conditional premium depends significantly positively on its own conditional variance and its conditional covariance with the equity premium. The conditional premium is large in the volatile 1979–82 period, but small afterwards.