摘要
本文基于费雪方程和增强预期理论形成统一分析框架,从全球量化宽松货币政策、外汇储备资产配置到机构套息交易,剖析了美国国债收益率曲线及期限利溢的决定因素。本文发现,通胀风险和实际利率风险下降,国际投资需求和美联储资产购买,共同压低了美债期限溢价。
This article examines the key factors determining the yield curve and the term premium in the US treasury market, making use of a uniform analysis based on the Fisher Equation and Anticipation theory, It concludes that a combination of weak inflation, a decline in real interest rate risk, demand from international investors and the Fed＇ s asset purchases have compressed the term premium in US treasuries
出处
《金融市场研究》
2017年第10期33-40,共8页
Financial Market Research
关键词
期限结构理论
期限溢价
量化宽松
美联储
Term Structure Theory, Term Premium, Quantitative Easing, Federal Reserve
