摘要：This article proposes a general equilibrium model to explain the positive and sizable term premia implied by the data.The authors introduce a slow mean-reverting process of consumption growth and a segmented asset-market mechanism with heterogeneous trading technologies into an otherwise standard heterogeneous agent general equilibrium model.First, the slow mean-reverting consumption growth process implies that the expected consumption growth rate is only slightly countercyclical and the process can exhibit near-zero first-order autocorrelation, as observed in the data.This slight countercyclicality suggests that long-term bonds are risky, and hence the term premia should be positive.Second, the segmented asset-market mechanism amplifies the magnitude of the term premia because aggregate risk is highly concentrated in a small fraction of marginal traders who demand high compensation for taking risk.For sensitivity analysis, the role of each assumption is further investigated by removing each factor one at a time.
