Bond Risk Premia and Realized Jump Risk

摘要：

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size-identified from high-frequency bond returns using the bi-power variation technique-increases the R2 of the regression from around 30 percent to 60 percent. This result is consistent with the setting of an unspanned risk factor in which the conditional distribution of excess bond returns is aected by a state variable that does not lie in the span of the term structure of yields or forward rates. The return predictability from augmenting the regression of excess bond returns on forward rates with the jump mean easily dominates the return predictability oered by instead augmenting the regression with options-implied volatility or realized volatility from high frequency data. In out-ofsample forecasting exercises, inclusion of the jump mean can reduce the root mean square prediction error by up to 40 percent. The unspanned risk factor-as proxied by realized jump mean in this paper-helps to account for the countercyclical movements in bond risk premia.

关键词： Unspanned Stochastic Volatility Expected Excess Bond Returns Expectations Hypothesis Countercyclical Risk Premia Realized Jump Risk Bi-Power Variation

作者: Jonathan Wright Hao Zhou

作者单位: Department of Economics Johns Hopkins University 3400 N. Charles St. Baltimore MD 21218 USA Division of Research and Statistics Federal Reserve Board Mail Stop 91 Washington DC 20551 USA

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-40

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）