IDEAS home Printed from
   My bibliography  Save this article



  • Lee, Sang-Sub


This paper investigates the macroeconomic sources of time-varying risk premia in the term structure of interest rates from 1959 to 1988 based on an intertemporal cash-in-advance model of the term structure. While the conditional variance measures of output and monetary uncertainty show significant explanatory power for the risk premia, the cross-equation restrictions implied by the model are not supported by the data. The study also finds evidence of sources of risk premia ignored by the model. Incorporating possible effects of omitted factors improves the model's ability to explain the cross-sectional behavior and the variability of the risk premia significantly. Copyright 1995 by Ohio State University Press.

Suggested Citation

  • Lee, Sang-Sub, 1995. "Macroeconomic," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 549-569, May.
  • Handle: RePEc:mcb:jmoncb:v:27:y:1995:i:2:p:549-69

    Download full text from publisher

    File URL:
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:27:y:1995:i:2:p:549-69. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.