The term premium, time varying interest rate volatility and central bank policy reaction

被引：2
|
作者：
Kugler, P [1 ]
机构：
[1] Univ Basel, WWZ, CH-4003 Basel, Switzerland
来源：
ECONOMICS LETTERS | 2002年 / 76卷 / 03期
关键词：
term structure; volatility; term premium; GARCH-M; policy reaction;
D O I：
10.1016/S0165-1765(02)00059-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The solution of the McCallum policy reaction model of the term structure of interest rates including a volatility-dependent term premium indicates that the performance of the expectations hypothesis of the term structure (EHTS) in simple regression and ARCH in mean framework is strongly affected by policy reaction. This finding is illustrated with US data for the 1973-1995 period. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：311 / 316
页数：6
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