A theoretical and empirical treatment of risk premia in the government bond market
(2025)
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- Authors
- Supervisors
- Iania, Leonardo
- Abstract
- This thesis investigates the dynamics of risk premia in the government bond market from a structural macro-finance perspective. It builds on Dynamic Stochastic General Equilibrium (DSGE) models by incorporating novel risk-generating mechanisms. The thesis is structured into three chapters, each contributing to the literature on risk premia and bond pricing. The first chapter examines the role of nominal rigidities in shaping risk premia within a nonlinear DSGE framework, addressing internal inconsistencies in price-setting mechanisms. The second chapter introduces regime switches in both the price and quantity of risk, providing a structural explanation for the time variation in risk premia. The third chapter develops a model with time-varying risk aversion to assess its influence on term premia and macroeconomic fluctuations. By integrating these elements, the thesis identifies key structural drivers of yield curve dynamics and risk fluctuations, offering insights relevant to policymakers and financial market participants.
- Affiliations
Citations
Tretiakov, P. (2025). A theoretical and empirical treatment of risk premia in the government bond market. https://hdl.handle.net/2078.5/245666