Estimating the Term Premium: Sample Periods Matter
该研究表明，经典仿射期限结构模型对样本期高度敏感，不同起点导致风险中性利率估计值大幅变化，并提出移动端点模型来缓解问题，为货币政策传导研究者提供新估计。
Estimated risk-neutral rates from canonical affine term structure models are highly sensitive to sample periods. For example, the 5-5 forward risk-neutral rate for September 1981 can differ by 4.6 percentage points (98%) depending on whether the sample starts in 1961 or 1981. Additionally, the estimated response of this rate to high-frequency monetary policy shocks varies by a factor of three, even within the same sample for monetary policy transmission regressions. We propose that a shifting endpoint model can mitigate these issues and provide new estimates of the effects of monetary policy shocks on long-term risk-neutral rates.