辽宁大学经济学前沿高端讲座第八十七讲 Risk Premiums in the U.S. Treasury Futures

来源：

学校官网

收录时间：

2025-10-18 15:45:56

时间：

2025-06-03 10:00:00

地点：

辽宁大学崇山校区五洲园一楼会议室

报告人：

刘锐 副教授

学校：

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关键词：

risk premiums, U.S. Treasury futures, term structure model, GARCH, interest rate risk, hedging pressure hypothesis, macro-finance, fixed income markets

简介：

We employ a no-arbitrage term structure model with latent state variables and GARCH-type volatility factor to price U.S. Treasury futures and investigate the embedded risk premiums. The model-implied futures risk premiums are generally positive and exhibit cyclical variations, reflecting investors’ dynamic perception of interest rate risk. Notably, heightened risk premiums coincide with an upward sloping yield curve, typically attributable to monetary policy easing during economic downturns, and vice versa. These dynamics are broadly consistent with those implied by the term structure model with yield curve factors and unspanned macroeconomic risks. We further highlight the importance of traders’ positions in the Treasury futures market in explaining the risk premiums. We find a significant negative association between Treasury futures risk premiums and the net positions of commercial traders and asset managers, aligning with the hedging pressure hypothesis. Specifically, asset managers, the dominant traders in the Treasury futures market, have increased long positions for off-balance-sheet duration exposure, leading to a lower risk premium. These findings remain robust even after accounting for yield curve dynamics and macroeconomic conditions.

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