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    题名: Long-Run Risk, Monetary Policy and Bond Risk Premium
    作者: 趙世偉
    Chao, Shih-Wei
    贡献者: 金融系
    关键词: Long-run risk;bond risk premium;inflation target;monetary policy shock
    日期: 2018-12
    上传时间: 2019-12-19 14:39:42 (UTC+8)
    摘要: 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.
    關聯: Journal of Financial Studies, Vol.26, No.4, pp.131-153
    数据类型: article
    显示于类别:[金融學系] 期刊論文

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