论文标题
国库债券市场中的股权尾巴风险
Equity Tail Risk in the Treasury Bond Market
论文作者
论文摘要
本文量化了公平尾巴风险对美国政府债券市场的影响。我们估计了股票尾声的风险，其股票市场的波动率源于较大的负价上涨，我们评估了其在财政回报率降低的预测回归中的价值和利率的期限结构模型。我们发现，股票市场的左尾波动率显着预测了样本内和样本外的国库券的一个月过剩回报。使用股权尾巴风险作为回报预测因素的增量价值对于均值兑现投资者贸易债券可能具有经济上的重要性。估计的术语结构模型表明，股权尾巴风险在美国政府债券市场中定价，并且与飞行到安全的理论一致，当尾巴风险的感知更高时，国库价格上涨。我们关于股权尾巴风险的预测能力和定价的结果扩展到欧洲的主要政府债券市场。
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in reduced-form predictive regressions for Treasury returns and a term structure model for interest rates. We find that the left tail volatility of the stock market significantly predicts one-month excess returns on Treasuries both in- and out-of-sample. The incremental value of employing equity tail risk as a return forecasting factor can be of economic importance for a mean-variance investor trading bonds. The estimated term structure model shows that equity tail risk is priced in the US government bond market and, consistent with the theory of flight-to-safety, Treasury prices increase when the perception of tail risk is higher. Our results concerning the predictive power and pricing of equity tail risk extend to major government bond markets in Europe.
