Modeling the time-varying volatility of the paper-bill spread

被引：1

作者：

Malik, Farooq ^{[1
]}

Ewing, Bradley T. ^{[2
]}

Kruse, Jamie B. ^{[3
]}

Lynch, Gerald J. ^{[4
]}

机构：

[1] Univ Southern Mississippi, Coll Business, Dept Econ & Finance, 118 Coll Dr 5072, Hattiesburg, MS 39406 USA

[2] Texas Tech Univ, Rawls Coll Business, Area Informat Syst & Quantitat Sci, Lubbock, TX 79409 USA

[3] East Carolina Univ, Dept Econ, Greenville, NC 27858 USA

[4] Purdue Univ, Krannert Sch Management, Dept Econ, W Lafayette, IN 47907 USA

来源：

JOURNAL OF ECONOMICS AND BUSINESS | 2009年 / 61卷 / 05期

关键词：

Paper-bill spread; Volatility; EGARCH;

D O I：

10.1016/j.jeconbus.2009.03.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The spread between the rates on commercial paper and Treasury bills has received considerable attention in the literature for its role as an indicator of real economic activity. In this paper we empirically examine what happens when the volatility of the spread changes over time. We estimate a nonlinear model that enables us to discern the asymmetric impact of negative and positive shocks to the spread. We find that a positive shock has a larger impact on the volatility of the spread than does a negative shock. (C) 2009 Elsevier Inc. All rights reserved.

引用

页码：404 / 414

页数：11

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