Long-Run Risk, Monetary Policy and Bond Risk Premium

Title	Long-Run Risk, Monetary Policy and Bond Risk Premium
Creator	趙世偉 Chao, Shih-Wei
Contributor	金融系
Key Words	Long-run risk ; bond risk premium ; inflation target ; monetary policy shock
Date	2018-12
Date Issued	19-Dec-2019 14:39:42 (UTC+8)
Summary	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
Type	article

dc.contributor	金融系
dc.creator (作者)	趙世偉
dc.creator (作者)	Chao, Shih-Wei
dc.date (日期)	2018-12
dc.date.accessioned	19-Dec-2019 14:39:42 (UTC+8)	-
dc.date.available	19-Dec-2019 14:39:42 (UTC+8)	-
dc.date.issued (上傳時間)	19-Dec-2019 14:39:42 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/127923	-
dc.description.abstract (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.
dc.format.extent	127 bytes	-
dc.format.mimetype	text/html	-
dc.relation (關聯)	Journal of Financial Studies, Vol.26, No.4, pp.131-153
dc.subject (關鍵詞)	Long-run risk ; bond risk premium ; inflation target ; monetary policy shock
dc.title (題名)	Long-Run Risk, Monetary Policy and Bond Risk Premium
dc.type (資料類型)	article