文章基本信息

标题：Term premia: models and some stylised facts
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作者：Benjamin H Cohen ; Peter Hördahl ; Dora Xia 等
期刊名称：BIS Quarterly Review: International Banking and Financial Market Developments = BIZ-Quartalsbericht: Internationales Bankgeschäft und internationale Finanzmärkte
印刷版ISSN：1012-9979
出版年度：2018
卷号：2018
语种：English
出版社：Bank for International Settlements
摘要：We review methods and models for estimating term premia on long-term government bonds. We then use these models to estimate term premia on US and euro area bonds and explore their recent behaviour. Although the models produce different estimates for the level of term premia, they largely concur on the trends and dynamics. While low (and sometimes negative) term premia have helped to keep yields unusually low, recent yield movements have tended to reflect shifts in expected short-term rates rather than in the premia. We find that co-movements in real term premia (rather than inflation risk premia or expected rates) have contributed to co-movements between yields in the United States and the euro area.