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| Title | Long-Run Risks, Monetary Policy and the Term Sturcture of Interest Rates |
| Creator | 趙世偉 Chao, Shih-Wei |
| Contributor | 金融系 |
| Key Words | Long-Run Risks;Bayesian Econometrics;Term Structure of Interest Rates;Inflation Volatility |
| Date | 2013-05 |
| Date Issued | 8-Dec-2015 17:33:09 (UTC+8) |
| Summary | This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price variation. The model features Epstein-Zin recursive preferences, which determine the market price of macro risk factors. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. And the time variation of the term premium is driven by the compensation for inflation volatility risk that is distinct from consumption volatility risk. The central role of inflation volatility risk in explaining the time-varying term premium is consistent with other empirical evidence including survey data. In contrast, the existing long-run risks literature emphasizes consumption volatility risk and ignores inflation-specific time-varying volatility. The estimation results of this paper suggest that inflation-specific volatility risk is essential for fitting the time series of the U.S. nominal term structure data. |
| Relation | Midwest Macroeconomics Meetings |
| Type | conference |
| dc.contributor | 金融系 | |
| dc.creator (作者) | 趙世偉 | zh_TW |
| dc.creator (作者) | Chao, Shih-Wei | |
| dc.date (日期) | 2013-05 | |
| dc.date.accessioned | 8-Dec-2015 17:33:09 (UTC+8) | - |
| dc.date.available | 8-Dec-2015 17:33:09 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2015 17:33:09 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/79610 | - |
| dc.description.abstract (摘要) | This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price variation. The model features Epstein-Zin recursive preferences, which determine the market price of macro risk factors. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. And the time variation of the term premium is driven by the compensation for inflation volatility risk that is distinct from consumption volatility risk. The central role of inflation volatility risk in explaining the time-varying term premium is consistent with other empirical evidence including survey data. In contrast, the existing long-run risks literature emphasizes consumption volatility risk and ignores inflation-specific time-varying volatility. The estimation results of this paper suggest that inflation-specific volatility risk is essential for fitting the time series of the U.S. nominal term structure data. | |
| dc.format.extent | 204871 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Midwest Macroeconomics Meetings | |
| dc.subject (關鍵詞) | Long-Run Risks;Bayesian Econometrics;Term Structure of Interest Rates;Inflation Volatility | |
| dc.title (題名) | Long-Run Risks, Monetary Policy and the Term Sturcture of Interest Rates | |
| dc.type (資料類型) | conference |