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股票风险是未来期限 - 结构波动的决定因素

金融市场杂志。 九月1,2015

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最近的文献表明,与仿射期限结构模型的含义相反,债券市场的波动率并未覆盖债券市场的波动性,而且对质量定价的逃避影响显然将股票市场和债券市场联系在一起。 以此动机为基础,我们在控制文献所建议的债券市场变量的框架下,研究了股权风险是否是近期美国国债期限结构波动的决定因素。 我们发现,以权益指数期权的隐含波动率衡量的股本风险包含后续波动的可靠信息:(1997)国债收益率,以2011年期T票据期货合约的收益率进行衡量,( 1)期限结构的水平,由期限结构的第一主要成分来衡量;(10)期限结构的斜率,由期限结构的第二主要成分和“ 2年减去3个月”期限来衡量收益率差。 我们的跨期研究结果支持这样一种观点,即股本风险可以帮助理解期限结构的变化,而不仅仅是一种孤立地看待债券市场的方法。

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