Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model
Hubert de La Bruslerie
(1)
,
Jessica Fouilloux
(2, 3)
Jessica Fouilloux
- Fonction : Auteur
- PersonId : 943816
Résumé
This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and test a parsimonious model that highlights linear relationship between term premiums and next period conditional volatilities. When calibrated to US data on interest rates, consumption and inflation, the model accounts for the C-CAPM expectations puzzle. Risk aversion coefficients between 2 and 7 are elicited.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model
|
Résumé |
en
This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and test a parsimonious model that highlights linear relationship between term premiums and next period conditional volatilities. When calibrated to US data on interest rates, consumption and inflation, the model accounts for the C-CAPM expectations puzzle. Risk aversion coefficients between 2 and 7 are elicited.
|
Auteur(s) |
Hubert de La Bruslerie
1
, Jessica Fouilloux
2, 3
1
DRM -
Dauphine Recherches en Management
( 1032 )
- Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
- France
2
IGR-IAE Rennes -
Institut de Gestion de Rennes - Institut d'Administration des Entreprises - Rennes
( 107395 )
- 11 rue Jean Macé - 35708 Rennes cedex 7
- France
3
CREM -
Centre de recherche en économie et management
( 894 )
- 7 place Hoche, BP 86514
35065 RENNES CEDEX
- France
|
Langue du document |
Anglais
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2015
|
Volume |
35
|
Numéro |
3
|
Page/Identifiant |
97-145
|
Nom de la revue |
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Mots-clés |
en
risk aversion, term premium, term structure of interest rates, C-CAPM
|
DOI | 10.3917/fina.353.0097 |
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