The Banking View of Bond Risk Premia
研究发现银行资产负债表对利率波动的暴露程度能有力预测国债超额回报，支持银行作为债券风险溢价定价主体的理论，并提供了实证证据。
ABSTRACT Banks' balance sheet exposure to fluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing fluctuations in interest rates. When banks' exposure to interest rate risk increases, the price of this risk simultaneously rises. We present a collection of empirical observations that support this view, but also discuss several challenges to this interpretation.