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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/127923

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/127923

Title:	Long-Run Risk, Monetary Policy and Bond Risk Premium
Authors:	趙世偉 Chao, Shih-Wei
Contributors:	金融系
Keywords:	Long-run risk;bond risk premium;inflation target;monetary policy shock
Date:	2018-12
Issue Date:	2019-12-19 14:39:42 (UTC+8)
Abstract:	The paper evaluates whether a long-run risk model with endogenous inflation accounts for the U.S. term structure and bond risk premium across three distinctive historical periods. In addition to the fit of the average yield curve, the model generates positive bond risk premium that increases in maturity for all periods and reasonably describes the evolutions of term premium over time with some quantitative discrepancies. Since the model tightly links bond risk premium to long-short yields difference, the main challenge is to rationalize large (small) bond risk premium with small (large) slope of the yield curve.
Relation:	Journal of Financial Studies, Vol.26, No.4, pp.131-153
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

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