中文版 | English
Title

Term structure of interest rates with short-run and long-run risks

Author
Corresponding AuthorGrishchenko,Olesya V.
Publication Years
2022-11-01
DOI
Source Title
EISSN
2405-9188
Volume8Pages:255-295
Abstract
We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk premium. These results are robust in a number of dimensions. We rationalize our findings within a consumption-based model with long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only, while standard forward-rate-based factors are associated with both short-run and long-run risks in the economy. Our model qualitatively replicates the predictability pattern of IRVRP for bond returns.
Keywords
URL[Source Record]
Language
English
SUSTech Authorship
Others
Scopus EID
2-s2.0-85141290840
Data Source
Scopus
Citation statistics
Cited Times [WOS]:0
Document TypeJournal Article
Identifierhttp://kc.sustech.edu.cn/handle/2SGJ60CL/411820
DepartmentSouthern University of Science and Technology
Affiliation
1.Division of Monetary Affairs,Federal Reserve Board,Washington, DC,20551,United States
2.Carey School of Business,John Hopkins University,Baltimore,100 International Drive,21202,United States
3.SUSTech Business School,Southern University of Science and Technology,China
4.PBC School of Finance,Tsinghua University,Beijing,43 Chengfu Road, Haidian District,100083,China
Recommended Citation
GB/T 7714
Grishchenko,Olesya V.,Song,Zhaogang,Zhou,Hao. Term structure of interest rates with short-run and long-run risks[J]. Journal of Finance and Data Science,2022,8:255-295.
APA
Grishchenko,Olesya V.,Song,Zhaogang,&Zhou,Hao.(2022).Term structure of interest rates with short-run and long-run risks.Journal of Finance and Data Science,8,255-295.
MLA
Grishchenko,Olesya V.,et al."Term structure of interest rates with short-run and long-run risks".Journal of Finance and Data Science 8(2022):255-295.
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