We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds, and survey forecasts of GDP growth and inflation. We find relatively stable inflation risk premia averaging at 40 basis points at the long-end, and which are strongly related to the volatility factor and conditional mean of output growth. We also document real risk premia that turn negative in the post-crisis period, and a non-negligible variance risk premium.
BERARDI, ANDREA (Corresponding)
|Data di pubblicazione:||2019|
|Titolo:||Inflation Risk Premia, Yield Volatility, and Macro Factors|
|Rivista:||JOURNAL OF FINANCIAL ECONOMETRICS|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1093/jjfinec/nby004|
|Appare nelle tipologie:||2.1 Articolo su rivista |