Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model
构建线性二次均衡宏观金融模型，分析通胀-消费相关性和风险厌恶的时变特征如何影响名义与实际收益率曲线及风险溢价，并用美国数据验证通胀风险溢价的正负转换。
Abstract Inflation risk premiums tend to be positive in an economy mainly hit by supply shocks, and negative if demand shocks dominate. Risk premiums also fluctuate with risk aversion. We shed light on this nexus in a linear-quadratic equilibrium macro-finance model featuring time variation in inflation-consumption correlation and risk aversion. We obtain analytical solutions for real and nominal yield curves and for risk premiums. While changes in the inflation-consumption correlation drive nominal yields, changes in risk aversion drive real yields and act as amplifier on nominal yields. Combining a trend-cycle specification of real consumption with hysteresis effects generates an upward-sloping real yield curve. Estimating the model on U.S. data from 1961 to 2019 confirms substantial time variation in inflation risk premiums: distinctly positive in the earlier part of our sample, especially during the 1980s, and turning negative with the onset of the new millennium.