The U.S. Treasury Term Premia in a Low Interest Rate Regime
构建并估计了一个马尔可夫转换模型，用于解释1961年以来美国国债收益率和期限溢价的主要变化，发现有效下限制度下长期消费增长与目标通胀的条件协方差显著为正，导致名义债券对冲低经济增长的能力增强，从而压低了期限溢价和收益率。
Abstract This article aims to rationalize major shifts in yields and term premia for the U.S. Treasury securities since 1961. To this end, we build and estimate a Markov switching model that features a distinctive regime where short-term interest rates are at the effective lower bound (ELB). Our empirical results show that the conditional covariance between long-run consumption growth and target inflation became significantly more positive at the ELB, which is consistent with the economic theory. More importantly, this change led to nominal bonds being a better hedge against low economic growth, causing a downward shift in term premia and yields. In addition, we can generate yields that match the U.S. data.