Risks and risk premia in the US Treasury market
使用包含多源波动率均值效应的期限结构模型，分析1966-2018年美国国债市场的风险收益权衡，发现利率风险主导正相关关系，宏观风险在1980年代和近期低收益时期有重要影响。
We analyze the risk-return trade-off in the US Treasury market using a term structure model that features volatility-in-mean effects of multiple sources, and yet preserves tractable bond prices. We find a strong positive relation between risks and risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to the surge and consequent fall of risk premia around the 1980s, whereas it moves inversely with risk premia during the recent ‘low yield’ period.