Sarno, Lucio; Li, Junye; Zinna, Gabriele - 2023
We analyze the risk-return trade-off in the US Treasury market using a term structure model that features volatility … risk premia over the 1966-2018 period. While interest-rate risk is the main driver of such positive relation, macro risk … plays a non-trivial role, and its omission leads to unstable estimates of the trade-off. Notably, macro risk contributes to …