Variance-in-mean effects of the long forward-rate slope
AbstractThis paper contains an empirical analysis of the dependence of the long forward-rate slope on the long-rate variance. The long forward-rate slope and the long rate are described by a bivariate GARCH-in-mean model. In accordance with theory, a negative long-rate variance-in-mean effect for the long forward-rate slope is documented. Thus, the greater the long-rate variance, the steeper the long forward-rate curve slopes downward (the long forward-rate slope is negative). The variance-in-mean effect is both statistically and economically significant.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 15 (2005)
Issue (Month): 11 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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