Long Run Risks in the Term Structure of Interest Rates : Estimation

@inproceedings{Doh2008LongRR,
  title={Long Run Risks in the Term Structure of Interest Rates : Estimation},
  author={Taeyoung Doh},
  year={2008}
}
  • Taeyoung Doh
  • Published 2008
This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price variation. The model features Epstein-Zin recursive preferences, which determine the market price of macro risk factors. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. And the time variation of the term premium is… CONTINUE READING

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