Bond Market Exposures to Macroeconomic and Monetary Policy Risks
估计了一个允许货币政策激进程度和宏观经济冲击分布随时间变化的模型，发现1990年代末通胀转为顺周期，债券对冲股票风险，导致股债收益相关性转负，并解释了收益率曲线向上倾斜的现象。
The paper estimates a model that allows for shifts in the aggressiveness of monetary policy and time variation in the distribution of macroeconomic shocks. These model features induce variations in the cyclical properties of inflation and the riskiness of bonds. The estimation identifies inflation as procyclical from the late 1990s, when the economy shifted toward aggressive monetary policy and experienced procyclical macroeconomics shocks. Since bonds hedge stock market risks when inflation is procylical, the stock-bond return correlation turned negative in the late 1990s. The risks of encountering countercyclical inflation in the future could lead to an upward-sloping yield curve, like in the data.Received September 11, 2016; editorial decision January 2, 2017 by Editor Stijn Van Nieuwerburgh.