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A comment on bond risk, bond return volatility, and the term structure of interest rates

机译：关于债券风险，债券收益波动率和利率期限结构的评论

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摘要

This paper analyzes whether measures of bond risk are related to yield spreads and the short term interest rate. The short rate reflects the aggregate economic uncertainty, as well as expectations of future inflation and real rates, and is typically procyclical. The yield spread is the difference between the short and long term yields. According to the expectation hypothesis, a large spread means that the short rate is expected to increase. Unlike the short rate, the spread is typically counter-cyclical. It is low during booms, when investment is cheap, and high during recessions. It is well-established in the literature that yield spreads and the short term interest rate forecast bond returns. The paper asks whether it is because of increased risk that bond returns respond to yield spreads and the short term interest rate.
机译：本文分析了债券风险的度量是否与收益率利差和短期利率有关。短期利率反映了总体经济不确定性以及对未来通胀和实际利率的预期，通常是周期性的。收益率差是短期收益率和长期收益率之间的差。根据预期假设，较大的价差意味着短期利率有望增加。与短期利率不同，利差通常是反周期的。在繁荣时期（投资便宜）为低，在衰退时期为高。收益率差和短期利率预测债券收益率在文献中已得到公认。该论文询问债券收益率是否因风险增加而对收益率利差和短期利率做出反应。

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  • 来源
    《International journal of forecasting》 |2012年第1期|p.118-120|共3页
  • 作者

    Andreas Heinen;

  • 作者单位

    THEMA, Universite de Cergy-Pontoise, 33 Boulevard du Port, 95011 Cergy-Pontoise, France;

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  • 正文语种 eng
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