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- W3049021250 abstract "We analyze the risk-return trade-off in the US Treasury market using a term-structure model that features volatility-in-mean effects of multiple sources, and yet preserves tractable bond prices. We find a strong positive relation between risks and risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to the surge and consequent fall of risk premia around the 1980s, whereas it moves inversely with risk premia during the recent `low yield' period." @default.
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- W3049021250 date "2020-01-01" @default.
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- W3049021250 title "Risks and Risk Premia in the US Treasury Market" @default.
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- W3049021250 doi "https://doi.org/10.2139/ssrn.3640341" @default.
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