全球智库信息集成服务系统(G2TT): Time-Varying Volatility and the Dynamic Behavior of the Term Structure

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w3682
来源ID	Working Paper 3682
	Time-Varying Volatility and the Dynamic Behavior of the Term Structure
	Robert F. Engle; Victor K. Ng
发表日期	1991-04-01
出版年	1991
语种	英语
摘要	In this paper, we consider a framework with which the cross sectional and time series behavior of the yield curve can be studied simultaneously. We examine the relationship between the yield curve and the time-varying conditional volatility of the Treasury bill market. We demonstrate that differently shaped yield curves can result given different combinations of volatility and expectations about future spot rates. Moreover, adjusting the forward rate for the volatility related liquidity premium can improve its performance as a predictor of future spot rates at least for the period from August 1964 to August 1979.
主题	Macroeconomics
URL	https://www.nber.org/papers/w3682
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/560993
推荐引用方式 GB/T 7714	Robert F. Engle,Victor K. Ng. Time-Varying Volatility and the Dynamic Behavior of the Term Structure. 1991.