The role of uncertainty in the term structure of interest rates: A GARCH-ATSM approach

Junko Koeda*, Ryo Kato

*この研究の対応する著者

研究成果査読

1 被引用数 (Scopus)

抄録

This article examines the roles of uncertainties regarding various macro-variables in determining risk premiums of bond yields. We develop a multivariate GARCH-VAR to quantify uncertainties regarding inflation, real activities and monetary policy as time-varying conditional variances. We jointly estimate the multivariate GARCH and no-arbitrage bond pricing equations using a maximum likelihood method. The results indicate that the inflation uncertainty is the largest contributor to the dynamics of long-term yields since the 1980s, while the monetary policy uncertainty also plays noticeable roles.

本文言語English
ページ(範囲)3710-3722
ページ数13
ジャーナルApplied Economics
47
34-35
DOI
出版ステータスPublished - 2015 7 27

ASJC Scopus subject areas

  • 経済学、計量経済学

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