Long-Run Risk, Monetary Policy, and Bond Risk Premium

長期風險、貨幣政策與債券風險溢價

10.6545/JFS.201812_26(4).0004

趙世偉(Shih-Wei Chao)

Long-run risk ； bond risk premium ； inflation target ； monetary policy shock ； 長期風險 ； 債券風險溢價 ； 通貨膨脹目標 ； 貨幣政策衝擊

財務金融學刊

26卷4期（2018 / 12 / 31）

131 - 153

英文

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.

本研究探討引入貨幣政策與內生性通貨膨脹的長期風險模型是否可以解釋不同歷史期間的利率期限結構與債券風險溢價。分析顯示此模型可合理模擬不同期間殖利率曲線的水準、斜率與債券風險溢價的走勢，但由於模型中較高的債券風險溢價必然伴隨較大的長短期利差，因此較難解釋歷史上部分期間兩者不一致的現象。

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