Essays on the information of the term structure and the asset pricing models of Treasury bill returns.

摘要

The thesis comprises four parts, each of which explores the issues in the area of the term structure of interest rates. The issues of interest include the information of the term structure and the characterization of time-varying risk premia on Treasury bill returns. The thesis explores these issues by concerning the use of a longer holding period, which has rarely been employed in research even though empirical evidence points to the different time-series properties of asset returns over different holding periods. Since longer horizon returns and a system of equations are used, the thesis applies the generalized Hansen-Hodrick (1980) method to remedy the resulting serial correlation in error terms. This method is also extended to collaborate with the General Method of Moments to test the asset pricing models of bill returns.; Parts I and II investigate the issues within the linear setting, while Parts III and IV studies the issues within the non-linear setting. Part I explores whether more information can be detected in forward rates by estimating simultaneously multiple forward rates with long forecast horizons than by using the existing approaches. Part II tests whether there is a difference in the characterizations by the latent variable model of time-varying risk premia on Treasury bill returns over (1) a long horizon or (2) a short horizon. Part III is conferred to show that the model with the non-expected utility specified by Epstein and Zin (1989) does not necessarily degenerate to the expected utility model. Hence, adopting this new model does not necessarily lead to Weil's (1989) conclusion that not only is the equity premium puzzle not resolved but also a "riskfree rate puzzle" is highlighted. Based on Part III's theoretical results, Part IV purports to test the non-expected utility model of bill returns. This part also simultaneously investigates whether the estimated measurement of the agent's attitudes toward intertemporal substitution is consistent with the "flight-to-quality" behavior.