Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a novel form of stochastic rate of time preference into an otherwise standard model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly driven by the risk price channel.

中文翻译：

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基于消费的模型中的债券风险溢价

高斯仿射期限结构模型将时变债券风险溢价归因于由风险因素的条件手段驱动的变化的风险价格，而具有递归偏好的结构模型则将其归因于随机波动。我们通过将新颖形式的随机时间偏好引入具有递归偏好的其他标准模型中来调和这些竞争渠道。我们的模型是仿射的，并且具有分析性的债券价格，因此从经验上讲易于处理。我们使用粒子马尔可夫链蒙特卡罗法估计模型，发现债券期限溢价的时间变化主要由风险价格通道驱动。