The Persistence in Volatility of the US Term Premium 1970-1986
AbstractThis 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 InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9409.
Length: 10 pages
Date of creation: 1994
Date of revision:
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risk ; financial sector ; monetary policy;
Other versions of this item:
- Tzavalis, Elias & Wickens, M. R., 1995. "The persistence in volatility of the US term premium 1970-1986," Economics Letters, Elsevier, vol. 49(4), pages 381-389, October.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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- WenShwo Fang & Stephen M. Miller, 2009.
"Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited,"
0904, University of Nevada, Las Vegas , Department of Economics.
- Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
- WenShwo Fang & Stephen M. Miller, 2008. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers 2008-47, University of Connecticut, Department of Economics.
- 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.
- Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
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