Ex ante bond returns and time-varying monotonicity
研究了美国国债期限溢价的动态变化，通过扩展非参数框架检验单调性，发现短期国债溢价非单调，长期国债溢价基本单调但受宏观冲击影响，零利率下限时溢价普遍单调。
We examine the dynamics of U.S. Treasury term premia by applying and extending the nonparametric framework of Boudoukh, Richardson, Smith, and Whitelaw (1999) into a time-varying test of monotonicity. The framework exploits conditioning variables with economic relevance to the business cycle, which a priori predict non-monotonic Treasury returns to permit a formal test of the Liquidity Preference Hypothesis (LPH). Conditioning ex ante returns against inversion in the yield curve, restrictive monetary policy rates, and negative investor sentiment reveals a non-monotonic term premium on Treasury bills. In contrast, term premia on portfolios comprising longer-term Treasury notes are primarily monotonic but exhibit non-monotonicity that coincides with unexpected macroeconomic shocks. When interest rates reach the zero lower bound, term premia are universally monotonic, demonstrating the Federal Reserve’s ability to normalise the yield curve. Ultimately, we illustrate the importance of accounting for the time-varying behaviour of the term premium, especially as changes in the business cycle influence the term structure of interest rates. • We study the dynamics of U.S. Treasury term premia. • We extend the framework of Boudoukh, Richardson, Smith, and Whitelaw (1999). • The findings demonstrate a non-monotonic term premium on Treasury bills. • Term premia on longer-term Treasury notes are primarily monotonic. • Unexpected macroeconomic shocks violate the liquidity preference hypothesis.