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The Persistence in Volatility of the US Term Premium 1970-1986

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Author Info

  • Tzavalis, E.
  • Wickens, M.R.

Abstract

This paper examines the persistence of the volatility of the risk premia for excess holding period returns of the term structure using a GARCH-M model of the conditional variance. The finding of a high degree of persistance cannot be sustained once allowance is made for a structural break in the unconditional variance caused by a change in the operation of US monetary policy during 1979-1982.

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Bibliographic Info

Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9409.

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Length: 10 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:exe:wpaper:9409

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Postal: Streatham Court, Rennes Drive, Exeter EX4 4PU
Phone: (01392) 263218
Fax: (01392) 263242
Web page: http://business-school.exeter.ac.uk/about/departments/economics/
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Related research

Keywords: risk ; financial sector ; monetary policy;

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Cited by:
  1. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series 09-02, Luxembourg School of Finance, University of Luxembourg.
  2. WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers 0904, University of Nevada, Las Vegas , Department of Economics.

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