Information in the Term Structure of Yield Curve Volatility
利用无套利模型和大量二阶矩数据，将美国国债收益率的条件波动率分解为短期利率预期波动率和期限溢价波动率，发现衰退前和资产市场困境中短期利率预期波动率更高，且投资者为对冲方差风险支付溢价。
ABSTRACT Using a novel no‐arbitrage model and extensive second‐moment data, we decompose conditional volatility of U.S. Treasury yields into volatilities of short‐rate expectations and term premia. Short‐rate expectations become more volatile than premia before recessions and during asset market distress. Correlation between shocks to premia and shocks to short‐rate expectations is close to zero on average and varies with the monetary policy stance. While Treasuries are nearly unexposed to variance shocks, investors pay a premium for hedging variance risk with derivatives. We illustrate the dynamics of the yield volatility components during and after the financial crisis.