An asset pricing approach to testing general term structure models

Christensen Bent Jesper; van der Wel Michel

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An asset pricing approach to testing general term structure models

机译：一种资产定价方法来测试一般期限结构模型

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摘要

We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premiums and arbitrage opportunities in models with both unobservable factors and factors identified as the innovations to observed macroeconomic variables. Factors can play double roles as both covariance-generating common shocks driving yields and determinants of market prices of risk in cross-sectional pricing. The evidence favors time-varying risk prices significantly related to the second Stock-Watson principal component of macroeconomic variables and to changes in the industrial production index. Our preferred specification includes these two observable and two unobservable factors, with the no-arbitrage condition imposed. (C) 2019 Elsevier B.V. All rights reserved.

机译：我们开发了一种用于期限结构分析的新的经验方法，该方法允许在模型中测试时变的风险溢价和套利机会，模型同时具有不可观察的因素和被识别为观察到的宏观经济变量的创新因素。由于协方差产生的共同冲击会推动收益率上升，而横截面定价中的风险市场价格决定因素则是双重因素。有证据表明，时变风险价格与宏观经济变量的第二个Stock-Watson主成分以及工业生产指数的变化显着相关。我们的首选规范包括这两个可观察因素和两个不可观察因素，并施加了无套利条件。（C）2019 Elsevier B.V.保留所有权利。

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来源
《Journal of financial economics》 |2019年第1期|165-191|共27页
作者
Christensen Bent Jesper; van der Wel Michel;
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作者单位

Aarhus Univ Dept Econ & Business Econ Fuglesangs Alle 4 DK-8210 Aarhus V Denmark|Aarhus Univ Ctr Res Econometr Anal Time Series Fuglesangs Alle 4 DK-8210 Aarhus V Denmark|Aarhus Univ Dale T Mortensen Ctr Fuglesangs Alle 4 DK-8210 Aarhus V Denmark;

Aarhus Univ Ctr Res Econometr Anal Time Series Fuglesangs Alle 4 DK-8210 Aarhus V Denmark|Erasmus Univ Erasmus Sch Econ Burgemeester Oudlaan 50 NL-3062 PA Rotterdam Netherlands|Tinbergen Inst Burgemeester Oudlaan 50 NL-3062 PA Rotterdam Netherlands|Erasmus Res Inst Management Burgemeester Oudlaan 50 NL-3062 PA Rotterdam Netherlands;

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正文语种 eng
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关键词
Bond aging effect; Macroeconomic conditioning variables; Nonlinear drift restriction; Time-varying risk premiums; Yield curve model;

机译：粘结老化效果;宏观经济条件变量;非线性漂移限制;随时间变化的风险溢价;产量曲线模型;

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5. Essays in asset pricing: On testing asset-pricing anomalies and modeling stock returns using model pools [D] . O'Doherty, Michael Shane 2011

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6. Relative Entropy and Minimum-Variance Pricing Kernel in Asset Pricing Model Evaluation [O] . Javier Rojo-Suárez, Ana Belén Alonso-Conde 2020

机译：资产定价模型评估中相对熵和最小差异定价核
7. An Asset Pricing Approach to Testing General Term Structure Models Including Heath-Jarrow-Morton Specifications and Affine Subclasses [O] . Bent Jesper Christensen, Michel van der Wel 2010

机译：测试一般术语结构模型的资产定价方法，包括Heath-Jarrow-Morton规范和仿射子类

An asset pricing approach to testing general term structure models

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