Economic Policy Uncertainty and Bond Risk Premia
研究了经济政策不确定性对未来债券收益的预测能力，发现其对短期债券收益影响较大，并改进了期限结构模型以更好解释风险溢价的反周期波动。
Abstract We study the forecasting power of economic uncertainty about government policy for future bond returns. Using the economic policy uncertainty measure ( ) developed by Baker, Bloom, and Davis (2016), we investigate its relationship to expected bond returns. The impact of the is shown to be large for earlier maturities at shorter investment horizons. Estimating an affine term structure model incorporating the , we show that term premia estimates from this model with this additional pricing factor exhibit higher fluctuations and move closely with the variations in observed yields. The implied term premia show strong countercyclical movements, hence better explaining higher risk compensation under adverse economic conditions as expected by theory.