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http://dx.doi.org/10.3386/w10220

has been cited by the following article:

• TITLE: The Risk Premium of Treasury Bonds in China

  AUTHORS: Xiaowei Wu

  KEYWORDS: Macro Dynamic Term Structure Models, Macro Factor, Yield Decomposition

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.1, February 26, 2016

  ABSTRACT: This paper studied the macroeconomic and the term structure of treasury bonds in the Shanghai Stock Exchange Market. Different from previous studies, we used a group of 122 observed macroeconomic data to construct our model’s macro factor. Therefore the macro factor contained more information than previous studies in predicting the excess return of Treasury bond. Based on the Kalman-Filter estimation, the results show that the macro factor’s risk was compensated through the level factor and slope factor, especially the level factor. Further, based on the decomposition of the yield curve into expected future short rate part and risk premium part, we find that there is some correlation between the variability of the risk premium and monetary policy to some extent.