Term Premium and Volatility: A Nonlinear Analysis of the Swiss Interest Rates

Chiente Hsu and Peter Kugler

Swiss Journal of Economics and Statistics (SJES), 1996, vol. 132, issue II, 153-176

Abstract: In this paper we investigate the relationship between the term premium and the volatility of the short interest rate by applying a single equation EGARCH-in-mean model as well as bivariate seminonparametric nonlinear impulse response analysis to weekly Swiss data over the period from 1978 to 1992. The estimation results of the restrictive parametric as well as the general seminonparametric methods provide no convincing evidence for a term premium volatility relationship. Our finding indicates that the nonlinear conditional mean dynamics plays a small role in accounting for the rejection of the expectations hypothesis of the term structure of interest rates.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sjes.ch/papers/1996-II-2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ses:arsjes:1996-ii-2

Access Statistics for this article

Swiss Journal of Economics and Statistics (SJES) is currently edited by Marius Brülhart

More articles in Swiss Journal of Economics and Statistics (SJES) from Swiss Society of Economics and Statistics (SSES) Contact information at EDIRC.
Bibliographic data for series maintained by Kurt Schmidheiny ().