Title of article
The term premium, time varying interest rate volatility and central bank policy reaction
Author/Authors
Peter Kugler، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
6
From page
311
To page
316
Abstract
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.
Keywords
Term premium , GARCH-M , Term structure , Volatility , Policy reaction
Journal title
Economics Letters
Serial Year
2002
Journal title
Economics Letters
Record number
434994
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