The Persistence in Volatility of the US Term Premium 1970-1986

Elias Tzavalis and Michael Wickens

Discussion Papers from University of Exeter, Department of Economics

Abstract: This paper examines the persistence of the volatility of the risk premia for excess holding period returns of the term structure using a GARCH-M model of the conditional variance. The finding of a high degree of persistance cannot be sustained once allowance is made for a structural break in the unconditional variance caused by a change in the operation of US monetary policy during 1979-1982.

Keywords: risk; financial sector; monetary policy (search for similar items in EconPapers)
JEL-codes: C52 G12 (search for similar items in EconPapers)
Pages: 10 pages
Date: 1994
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Journal Article: The persistence in volatility of the US term premium 1970-1986 (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:9409

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