A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
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DOI：
10.1093/rfs/hhs108
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发表时间：
2013-01-01
影响因子：
8.2
通讯作者：
Shaliastovich, Ivan
中科院分区：
文献类型：
--
作者：
Bansal, Ravi;Shaliastovich, Ivan
我们表明，债券风险溢价随着预期通胀的不确定性上升而上升，随着预期增长的不确定性下降而下降；使用这些不确定性指标的收益可预测性程度与使用多种收益率的情况相似。受此证据的启发，我们开发并估计了一个具有预期增长和通胀随时间变化的波动率的长期风险模型。该模型同时解释了债券收益的可预测性以及外汇市场中无抛补利率平价的违背情况。我们发现，对不确定性尽早解决的偏好、随时间变化的波动率以及通胀对增长的非中性影响，对于解释资产市场的这些方面非常重要。
We show that bond risk premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a long-run risks model with timevarying volatilities of expected growth and inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in currency markets. We find that preference for early resolution of uncertainty, time-varying volatilities, and non-neutral effects of inflation on growth are important to account for these aspects of asset markets.