Ambiguity Aversion and the Term Structure of Interest Rates
构建了一个代表性代理人具有模糊厌恶的简单结构模型，研究其对利率期限结构的影响。债券超额收益包含模糊溢价，该溢价在观测上不同于仿射收益率曲线模型的风险溢价，且即使在最简单的对数效用设定下也可能很大。一个校准的低维两因子模型能够复现文献中记录的预期假设偏离，且不显著改变短期利率的非线性均值回复动态。
This paper studies the term structure implications of a simple structural model in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk premium of affine yield curve models. The ambiguity premium can be large even in the simplest log-utility setting and is also nonzero for stochastic factors that have a zero risk premium. A calibrated low-dimensional two-factor model with ambiguity is able to reproduce the deviations from the expectations hypothesis documented in the literature, without modifying in a substantial way the nonlinear mean-reversion dynamics of the short interest rate. Moreover, the model does not imply any apparent trade-off between fitting the first and second moments of the yield curve. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.