国债市场的权益尾部风险
Equity Tail Risk in the Treasury Bond Market
摘要：
本文量化了股票尾部风险对美国政府债券市场的影响。我们估计股权尾部风险与期权隐含的股票市场波动，源于大的负价格跳跃，我们评估其价值的缩减形式的预测回归国债收益率和利率的期限结构模型。我们发现，股票市场的左尾波动显著预测一个月的超额收益率的国债样本内和样本外。采用权益尾部风险作为收益预测因子的增量价值对于交易债券的均值-方差投资者具有经济重要性。估计的期限结构模型表明，股票尾部风险在美国政府债券市场定价，符合飞行到安全的理论，国债价格增加时，尾部风险的看法更高。我们的结果有关的预测能力和定价的股票尾部风险延伸到主要的政府债券市场在欧洲。
英文摘要：
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in reduced-form predictive regressions for Treasury returns and a term structure model for interest rates. We find that the left tail volatility of the stock market significantly predicts one-month excess returns on Treasuries both in- and out-of-sample. The incremental value of employing equity tail risk as a return forecasting factor can be of economic importance for a mean-variance investor trading bonds. The estimated term structure model shows that equity tail risk is priced in the US government bond market and, consistent with the theory of flight-to-safety, Treasury prices increase when the perception of tail risk is higher. Our results concerning the predictive power and pricing of equity tail risk extend to major government bond markets in Europe.
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