We study the forecasting power of economic uncertainty about government policy for future bond returns. Using the economic policy uncertainty measure () developed by Baker, Bloom, and Davis (2016), we investigate its relationship to expected bond returns. The impact of the is shown to be large for earlier maturities at shorter investment horizons. Estimating an affine term structure model incorporating the , we show that term premia estimates from this model with this additional pricing factor exhibit higher fluctuations and move closely with the variations in observed yields. The implied term premia show strong countercyclical movements, hence better explaining higher risk compensation under adverse economic conditions as expected by theory.

中文翻译：

---

经济政策不确定性和债券风险溢价

我们研究了政府政策的经济不确定性对未来债券回报的预测能力。使用Baker、Bloom 和 Davis (2016) 开发的经济政策不确定性度量 ( )，我们研究了它与预期债券回报的关系。事实证明，对于投资期限较短的较早到期日的影响较大。估计包含 的仿射期限结构模型，我们表明，具有此附加定价因素的该模型的期限溢价估计表现出更高的波动，并与观察到的收益率的变化密切相关。隐含的术语溢价表现出强烈的反周期运动，因此更好地解释了理论预期的不利经济条件下更高的风险补偿。