UK Macroeconomic Volatility and the Term Structure of Interest Rates
AbstractThis paper uses a macro-finance model to examine the ability of the gilt market to predict fluctuations in macroeconomic volatility. The econometric model is a development of the standard âsquare rootâ volatility model, but unlike the conventional term structure speciâ¦cation it allows for separate volatility and inâ¡ation trends. It finds that although volatility and inflation trends move independently in the short run, they are cointegrated. Bond yields provide useful information about macroeconomic volatility, but a better indicator can be developed by combining this with macroeconomic information.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 75 (2013)
Issue (Month): 3 (06)
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Other versions of this item:
- Peter Spencer, . "UK macroeconomic volatility and the term structure of interest rates," Discussion Papers 11/28, Department of Economics, University of York.
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- Spencer, Peter & Liu, Zhuoshi, 2010.
"An open-economy macro-finance model of international interdependence: The OECD, US and the UK,"
Journal of Banking & Finance,
Elsevier, vol. 34(3), pages 667-680, March.
- Peter Spencer & Zhuoshi Liu, . "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
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