近日，我院郭彬准任副教授与刘澜飚教授合作的论文“The time-varying bond risk premia in China”被国际金融学期刊Journal of Empirical Finance接收。

该文章系统性地分析了我国国债市场的利率期限结构以及风险溢价特征。研究发现，由于未采用零利率政策，我国短期利率一直具有波动空间，但尽管如此，较传统发达国家来说，我国利率期限结构也具有不同特征。不同于经典的Fama和Bliss（1987），我国债券风险溢价的波动完全来源于远期利率的变化；此外，宏观变量无法帮助远期利率来预测债券溢价，从而证实了Bauer和Hamilton（2018）。依靠高斯动态利率期限模型，文章测度了债券风险溢价的可预测占比，并发现水平债券因子唯一被显著定价。该文章是对我国利率期限结构及其风险溢价的全面梳理，对理解我国利率传导机制和债券风险形成机制具有学术意义。

论文摘要

The time-varying bond risk premia in China

Han Zhang, Bin Guo*, Lanbiao Liu

Unlike many developed countries in which zero interest rate policies are widely adopted, there is still room for interest rate fluctuations in China. Nevertheless, the dynamics of bond yields, forward rates and risk premia still differ from the traditional understanding. This paper focuses on the Chinese treasury bonds. By OLS regressions, we find movements in the current forward rate fully reflect future bond risk premia, while other variables do not improve its performances, regardless of in- and out-of-sample predictions. This result is confirmed by a group of no-arbitrage dynamic term structure models. Moreover, the theoretical models reveal three important findings: 1. there are about 20% predictable variations in annual excess returns; 2. only the level factor risk is priced; 3. the candidate macroeconomic variables cannot contribute to the term premia structure.