The Volatility of U.S. Term Structure Term Premia 1952-1991
AbstractRecent studies suggest that the term premia within the U.S. Term Structure of Interest Rates may be adequately characterised as univariate GARCH (1,1)-M processes, with highly persistent or even potentially explosive conditional variances. Tzavalis and Wickens (1995) using data over the period 1970-1996 argue that such findings may be the result of the failure of the GARCH-M model to allow for the 1979-1982 change in U.S. monetary policy.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 620.
Length: 26 pages
Date of creation: 1998
Date of revision:
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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
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Web page: http://www.economics.unimelb.edu.au
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INTEREST RATE ; MODELS;
Other versions of this item:
- Olan Henry, 1999. "The volatility of US term structure term premia 1952 - 1991," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 263-271.
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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- 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.
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