Critical Finance Review, 2015, 4: 45–115

国债收益率的季节性变化

作者：Mark J. Kamstra (York University), Lisa A. Kramer (University of Toronto), Maurice D. Levi (University of British Columbia)

摘要：我们记录了美国国债的年度周期性，平均月度收益率的差异从峰值到谷值超过80个基点。这种季节性的国债收益率模式并不是由以下因素引起的：宏观经济的季节性、风险的季节变化、股票与国债市场之间的交叉对冲、投资者情绪的传统测量、天气、国债市场拍卖时间表的季节性、国债供应的季节性、联邦公开市场委员会(FOMC)周期的季节性，或所考虑样本期的特殊性。相反，它跟一个与季节性情绪变化相联系的风险规避变化的代理变量相关。此模型可以解释国债月度收益率平均季节性变化的百分之六十以上。White(2000)的现实检验表明，这不是数据探测。

关键词：国库券收益率、中期国库券收益率、市场的季节性、时变的风险规避

Seasonal Variation in Treasury Returns

Mark J. Kamstra (York University), Lisa A. Kramer (University of Toronto), Maurice D. Levi (University of British Columbia)

ABSTRACT

We document an annual cycle in U.S. Treasuries, with variation in mean monthly returns of over 80 basis points from peak to trough. This seasonal Treasury return pattern does not arise due to macroeconomic seasonalities, seasonal variation in risk, cross-hedging between equity and Treasury markets, conventional measures of investor sentiment, the weather, seasonalities in the Treasury market auction schedule, seasonalities in the Treasury debt supply, seasonalities in the Federal Open Market Committee (FOMC) cycle, or peculiarities of the sample period considered. Rather, it is correlated with a proxy for variation in risk aversion linked to seasonal mood changes. Such a model can explain more than sixty percent of the average seasonal variation in monthly Treasury returns. The White (2000) reality test suggests this is not data snooping.

Keywords: Treasury bond returns, Treasury note returns, Market seasonality, Time-varying risk aversion.

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-021.pdf

翻译：任兆月