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The Volatility of U.S. Term Structure Term Premia 1952-1991

Author

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  • Henry, O.T.

Abstract

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.

Suggested Citation

  • Henry, O.T., 1998. "The Volatility of U.S. Term Structure Term Premia 1952-1991," Department of Economics - Working Papers Series 620, The University of Melbourne.
    • Handle: RePEc:mlb:wpaper:620
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    Cited by:

    1. 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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    Keywords

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    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 - - - Interest Rates: Determination, Term Structure, and Effects
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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