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宏观经济不确定性和遥远的远期利率斜率

实证金融学杂志。 六月1,2018

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在1990到2014期间,我们显示了Jurado等人的宏观经济不确定性指数。 (2015)是对10至30年度期限结构部分的国债远期利率斜率的强有力的经验决定因素。 宏观经济不确定性与远期远期利率斜率之间的强烈负偏态关系在多变量环境中仍然可靠明显,包括预期债券收益率波动率(作为对凸性影响的控制),经济增长,预期通货膨胀以及其他五个众所周知的不确定性和风险措施。 除了众所周知的债券凸性通道以促进向下倾斜的远期前向斜率,我们的研究结果表明,较高的宏观经济不确定性可以通过坎贝尔等人意义上的对冲渠道推动远期远期汇率的下行斜率。 (2017)。 与假设的对冲渠道一致,我们还记录了债券收益率与宏观经济不确定性相关的横截面变化,包括中长期国债和高低信用风险公司债券。


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