2025-01-19-欧洲央行-均衡期限结构模型中时变风险规避与通货膨胀消费相关性（英）_76页_2mb

Summary

This paper introduces a new equilibrium model for pricing term structures, featuring time-varying risk aversion and a time-varying correlation between consumption growth and inflation. The model generates time variation in inflation risk premiums and real yield curves, which is empirically significant.

Key Findings:

• Inflation risk premiums are positive during periods dominated by supply shocks (e.g., 1970s-1980s) and negative during demand shock periods (e.g., post-2000).
• Risk aversion exhibits substantial time variation, capturing shifts in risk appetite.
• Time-varying inflation-consumption correlation provides a crucial driver for inflation risk premiums.
• The model successfully replicates upward-sloping real yield curves and matches term premium dynamics in the U.S. data.
• Hysteresis effects amplify term premiums, with output gaps reducing expected trend growth during recessions.

Empirical Contribution:
The model, estimated using U.S. data, decomposes real and nominal interest rates, confirming its ability to capture crucial macroeconomic dynamics through a tractable linear-quadratic framework. It offers insights into term premium variation and inflation risk premium dynamics in the face of changing macroeconomic regimes.