文章基本信息

标题：The Real Term Premium in a Stationary Economy with Segmented Asset Markets
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作者：YiLi Chien ; Junsang Lee
期刊名称：Federal Reserve Bank of St. Louis Review
印刷版ISSN：0014-9187
出版年度：2019
卷号：101
期号：2
DOI：10.20955/r.101.115-34
语种：English
出版社：Federal Reserve Bank of St. Louis
摘要：This article proposes a general equilibrium model to explain the positive and sizable term premia implied by the data.The authors introduce a slow mean-reverting process of consumption growth and a segmented asset-market mechanism with heterogeneous trading technologies into an otherwise standard heterogeneous agent general equilibrium model.First, the slow mean-reverting consumption growth process implies that the expected consumption growth rate is only slightly countercyclical and the process can exhibit near-zero first-order autocorrelation, as observed in the data.This slight countercyclicality suggests that long-term bonds are risky, and hence the term premia should be positive.Second, the segmented asset-market mechanism amplifies the magnitude of the term premia because aggregate risk is highly concentrated in a small fraction of marginal traders who demand high compensation for taking risk.For sensitivity analysis, the role of each assumption is further investigated by removing each factor one at a time.