Funding shortages, expectations, and forward rate risk premium
估计了国债远期利率中的期限风险溢价和预期未来即期利率，发现货币市场短期资金短缺会影响各期限远期利率的预期和风险溢价，且中介杠杆率显著影响期限风险溢价但不影响预期。
This paper estimates term risk premium and expected future spot rates embedded in Treasury forward rates to study the impact of short-term funding shortages on these quantities. Our approach is consistent with dynamic equilibrium models and avoids the arbitrage-free dynamic inconsistency problems exhibited by traditional methods. We find that short-term funding shortages in money markets affect both expectations of spot rates and forward rate risk premium for all maturity forward rates. The leverage ratio of intermediaries (primary dealers) significantly affects term risk premium but not expectations of future spot rates. Yield curve inversion has no impact on the forward rate curve's evolution.