Macroeconomic Sources of Risk in the Term Structure
基于随机贴现因子模型，用多元GARCH建模不同期限美国债券超额收益与宏观经济因素的联合分布，估计实际和名义风险对期限溢价的贡献，并检验理性预期假说的失败是否源于遗漏时变期限溢价。
We develop a new way of modeling time variation in term premia, based on the stochastic discount factor model of asset pricing. The joint distribution of excess U.S. bond returns of different maturity and the observable fundamental macroeconomic factors is modeled using multivariate GARCH with conditional covariances in the mean to capture the term premia. By testing the assumption of no arbitrage we derive a specification test of our model. We estimate the contribution made to the term premia at different maturities through real and nominal sources of risk. From the estimated term premia we recover the term structure of interest rates and examine how it varies through time. Finally, we examine whether the reported failures of the rational expectations hypothesis can be attributed to an omitted time‐varying term premium.