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）

Time-varying risk aversion andinflation-consumption correlation in anequilibrium term structure model Tilman Bletzinger, Wolfgang Lemke,Jean-Paul Renne Disclaimer:This paper should not be reported as representing the views of the European Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract Inflation risk premiums tend to be positive in an economy mainly hit by supplyshocks, and negative if demand shocks dominate. Risk premiums also fluctuate withrisk aversion. We shed light on this nexus in a linear-quadratic equilibrium macro-finance model featuring time variation in inflation-consumption correlation and riskaversion.We obtain analytical solutions for real and nominal yield curves and forrisk premiums. While changes in the inflation-consumption correlation drive nominalyields, changes in risk aversion drive real yields and act as amplifier on nominal yields.Combining a trend-cycle specification of real consumption with hysteresis effects gen-erates an upward-sloping real yield curve. Estimating the model on US data from 1961to 2019 confirms substantial time variation in inflation risk premiums: distinctly posi-tive in the earlier part of our sample, especially during the 1980s, and turning negativewith the onset of the new millennium. Keywords:Term structure model, inflation risk premiums, demand and supply, risk aversion.JEL codes:E43, E44, C32 Non-technical summary Changes in the shape of the yield curve can stem from various sources: shifting inflation expecta-tions, re-assessments of the overall health of the economy, variation in risk aversion or movementsin uncertainty and perceived risk. These factors typically have different effects across maturities,on real versus nominal bond yields, and on average short-term rate expectations versus risk premi-ums. While traditional reduced-form models of the term structure of interest rates lack the abilityto distinguish between these drivers and their effects, this paper presents a new equilibrium modelbased on a representative agent with recursive preferences and exogenous factors governing theconsumption growth and inflation processes to price the term structure of nominal bond yields,real interest rates and inflation compensation. The model introduces three innovations compared to existing equilibrium models, while re-maining tractable to derive analytical pricing formulas. First, our specification comes with time-varying risk aversion in the recursive preferences which helps generate time variation in real andnominal term premiums. Second, the model introduces a mechanism to create a time-varying cor-relation between consumption growth and inflation so that the relative importance of supply versusdemand shocks hitting the economy can vary over time. This mechanism is an important determi-nant of the sign and size of inflation risk premiums and nominal term premiums. Third, the modelis able to generate a real yield curve that is upward-sloping on average – a pattern that is observedin the data but that most existing equilibrium models fail to provide. To that end, we add a cyclicalcomponent – or output gap – in the consumptionlevelprocess, whereby expected consumptiongrowth can be positive in a context of a negative output gap, resulting in real bonds whose ratesare linked to expected consumption growth that lose value in bad states of the world. The positivepremium that is demanded by agents to hold these bonds is amplified by means of hysteresis effectswhereby cyclical consumption shocks can exert enduring impacts on real growth. The estimation of the model with US quarterly data from 1961 to 2019, including consumptiongrowth, inflation, nominal bond yields, inflation-linked bond yields as well as survey informationon future interest rates and inflation, leads to the following empirical findings. First, the mecha-nism for generating positive average real term premiums manifests itself empirically. Second, riskaversion shows distinct time variation with plausible dynamics. Despite being inferred only frommacro and bond price information, risk aversion captures several salient bouts of changing risk ap-petite as suggested by other measures that incorporate stock market information. Third, the modelgenerates time variation in the correlation between consumption growth and inflation, signallinga clear dominance of supply shocks in the late 1970s and 1980s, and a more demand-dominatedpattern since the 1990s. Fourth, risk aversion drives nominal term premiums by giving rise to realterm premiums as well as by amplifying inflation risk premiums. 1Introduction Changes in the shape of the yield curve can stem from various sources: shifting inflation expecta-tions, re-assessments of the overall health of the economy, variation in risk aversion or movementsin uncertainty and perceived risk.These factors typically have different effects across maturi-ties, on real versus nominal bond yiel