期刊
REVIEW OF FINANCIAL STUDIES
卷 26, 期 1, 页码 1-33出版社
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhs108
关键词
E43; F31; G12; G15
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.
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