000			01389nam a22001817a 4500
008			190323b xxu||||| |||| 00| 0 eng d
022			_a0304-405X
245			_aInterest rate volatility, the yield curve, and the macroeconomy / Scott Joslin, Yaniv Konchitchki _cScott Joslin, Yaniv Konchitchki
260			_aAmsterdam _bElsevier _cMay 2018
300			_aPages 344-362
440			_aJournal of Financial Economics _v128 (2) _x0304-405X
500			_aAbstract This paper provides theory and evidence that a low-dimensional term structure model can simultaneously price bonds and related options. It shows that a component of volatility risk largely unrelated to the shape of the yield curve is a determinant of expected excess returns for holding long maturity bonds. It also finds evidence for this return relationship both in the model and directly in the data through regression analysis. The paper also identifies a link between corporate earnings performance and interest rate volatility, providing a channel driving interest rate volatility. The structure of risk in the model that gives rise to these features of volatility is distinct from that inherent in recent models with unspanned stochastic volatility.
690			_aMacro-finance term structure model
690			_aInterest rate volatility
690			_aNo-arbitrage model
690			_aMacroeconomy
942			_2lcc _cSE
999			_c361356 _d361356