Recent 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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Length: 26 pages Date of creation: 1998 Date of revision: Handle: RePEc:mlb:wpaper:620
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Find related papers by JEL classification: 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 - - - Determination of Interest Rates; Term Structure of Interest Rates C5 - Mathematical and Quantitative Methods - - Econometric Modeling