Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps
构建了一个名义和实际债券收益曲线的模型，用美国国债收益率、通胀调查预测和通胀互换利率估计，发现短期实际利率和预期通胀的波动性随时间变化，并指出通胀保值证券在2004年前和金融危机期间被低估。
We develop a model of nominal and real bond yield curves that has four stochastic drivers but seven factors: three factors primarily determine the cross-section of yields, whereas four volatility factors solely determine risk premia. The model is estimated using nominal Treasury yields, survey inflation forecasts, and inflation swap rates and has attractive empirical properties. Time-varying volatility is particularly apparent in short-term real rates and expected inflation. Also, we detail the different economic forces that drive short- and long-term real and inflation risk premia and provide evidence that Treasury inflation-protected securities were undervalued prior to 2004 and during the recent financial crisis. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.