Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
期限结构中的状态转换、风险溢价与商业周期
Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury bonds—the R 2 ’s being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that relates to the maturity of the forward rate. These dimensions of the data in conjunction with the transition dynamics of bond yields offer a serious challenge to term structure models. In this paper we show that a regime-shifts term structure…