The Term Structure of Risk Premia with Heterogeneous Recursive Preferences and Beliefs

2017 ◽  
Author(s):  
Edward Golosov
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Recursive Preferences

scholarly journals Bond risk premia in consumption‐based models

10.3982/qe887 ◽  
2020 ◽  
Vol 11 (4) ◽  
pp. 1461-1484 ◽  
Author(s):  
Drew D. Creal ◽  
Jing Cynthia Wu
Keyword(s):  
Term Structure ◽  
Time Preference ◽  
Risk Premia ◽  
Recursive Preferences ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Bond Risk Premia ◽  
Bond Risk ◽  
Term Premia ◽  
Conditional Means

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a novel form of stochastic rate of time preference into an otherwise standard model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly driven by the risk price channel.

Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models

The term structure of equity and variance risk premia

2020 ◽  
Vol 219 (2) ◽  
pp. 204-230 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Mustafa Karaman ◽  
Loriano Mancini
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Variance Risk
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