We develop a novel term-structure model for pricing GDP-linked bonds, hypothetical securities with cash-flows indexed to the level of U.S. GDP. For this purpose, we rely on a term-structure model of equity yields estimated using the prices of dividend swaps, which we assume span GDP growth. Our approach provides a novel way of estimating the relative cost of conventional and GDP-linked bonds, as well as measuring more general market-based expectations of (and risks around) GDP growth. Our model predicts that U.S. GDP-linked bonds would typically have yields lower than those on conventional Treasury bonds with the same maturity in our sample from 2010 to 2017. Positive expected future GDP growth lowers the yield on GDP-linked bonds relative to conventional bonds, which typically more than offsets the estimated GDP risk premium demanded by investors for holding GDP risk.

我们开发了一种新颖的期限结构模型来对GDP挂钩债券（假设现金流与美国GDP水平挂钩的有价证券）进行定价。为此，我们依赖于使用股息掉期价格估算的股票收益率的期限结构模型，该模型假设跨越GDP增长。我们的方法提供了一种新颖的方式来估算常规债券和与GDP挂钩的债券的相对成本，以及衡量基于市场的GDP增长（以及围绕GDP增长的风险）的更一般的预期。我们的模型预测，从2010年到2017年，在样本中具有相同期限的美国GDP关联债券的收益率通常会低于传统国库券。预期的未来GDP增长为正值会相对于传统债券降低GDP关联债券的收益率，