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雷达卡
英文文献：Macro Expectations, Aggregate Uncertainty, and Expected Term Premia-宏观预期、总体不确定性和预期的期限溢价
英文文献作者：Christian D. Dick,Maik Schmeling,Andreas Schrimpf
英文文献摘要：
Based on individual expectations from the Survey of Professional Forecasters, we construct a realtime proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables as well as aggregate macroeconomic uncertainty at the level of individual forecasters. We find that expected term premia are (i) time-varying and reasonably persistent, (ii) strongly related to expectations about future output growth, and (iii) positively affected by uncertainty about future output growth and in ation rates. Expectations about real macroeconomic variables seem to matter more than expectations about nominal factors. Additional findings on term structure factors suggest that the level and slope factor capture information related to uncertainty about real and nominal macroeconomic prospects, and that curvature is related to subjective term premium expectations themselves. Finally, an aggregate measure of forecasters' term premium expectations has predictive power for bond excess returns over horizons of up to one year.
根据专业预测者调查中的个人预期，我们构建了一个长期债券预期期限溢价变化的实时代理。我们实证研究了这些债券期限溢价预期与关键宏观经济变量预期以及总体宏观经济不确定性在个别预测者水平上的关系。我们发现，预期期限溢价(i)时变且相当持久，(ii)与对未来产出增长的预期密切相关，(iii)受未来产出增长和通货膨胀率的不确定性的积极影响。对实际宏观经济变量的预期似乎比对名义因素的预期更重要。关于期限结构因素的其他发现表明，水平和斜率因素捕获了与实际和名义宏观经济前景不确定性相关的信息，而曲率与主观的期限溢价预期本身相关。最后，预测者对长期溢价预期的综合衡量，对长达一年的债券超额回报具有预测能力。
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