文章基本信息

标题：The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
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作者：Peter Spencer
期刊名称：Discussion Papers in Economics / Department of Economics, University of York
出版年度：2013
卷号：2013
出版社：University of York
摘要：This paper addresses questions about the structure of the economy and financial markets raised by recent research on the term structure. The work of Duffee (2012) and Joslin, Preibsch and Singleton (2012) suggests that macroeconomic variables affect risk premia rather than bond yields, which are driven by just three factors as in the traditional model. This is consistent with the observation that the real world macro-dynamics appear to be much richer than the risk neutral dynamics underpinning the term structure. On the other hand, Cochrane and Piazzesi (2005) and (2010) suggest that premia are much simpler, depending upon a single return forecasting factor but not macro variables. This paper suggests that the traditional model is too restrictive, performing poorly at the long end. A model with two return-forecasting factors works remarkably well.