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英文文献：Bond Risk Premiums at the Zero Lower Bound-债券风险溢价处于零下限
英文文献作者：Martin M?ller Andreasen,Kasper J?rgensen,Andrew Meldrum
英文文献摘要：
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but extending the model with regime-switching in the (physical) dynamics of the factors at the lower bound resolves this shortcoming. The model is also consistent with the downwards trend in surveys on short rate expectations at long horizons, but requires a break in the level of its factors to closely fit the low level of these surveys since 2015.
本文证明2008-2015年美国国债收益率曲线的斜率与未来超额债券收益率之间的关系比2008年之前显著增强。这一新的可预测性结果与带有高斯因子动力学的标准阴影率模型不匹配，但在因子下界的(物理)动力学中使用政权转换扩展模型，解决了这一缺陷。该模型也与长期短期利率预期调查中的下行趋势相一致，但需要突破其因素水平，才能与这些调查自2015年以来的低水平紧密贴合。
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