Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253559 
Year of Publication: 
2020
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 11 [Issue:] 4 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2020 [Pages:] 1461-1484
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
Gaussian affine term structure models attribute time-varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a novel form of stochastic rate of time preference into an otherwise standard model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly driven by the risk price channel.
Subjects: 
Bond risk premia
term structure of interest rates
stochastic rate oftime preference
MCMC
particle &#xfb01
lter
recursive preferences
stochastic volatility
JEL: 
C11
E43
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

Files in This Item:
File
Size
413.2 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.