@article{cffc7af27c8f48578ccb64d436df27f1,
title = "The role of uncertainty in the term structure of interest rates: A GARCH-ATSM approach",
abstract = "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.",
keywords = "GARCH, estimation, financial, term structure of interest rates",
author = "Junko Koeda and Ryo Kato",
note = "Funding Information: Junko Koeda acknowledges funding from the Nomura Foundation for Academic Promotion and the Ministry of Education, Culture, Sports, Science, and Technology of the Japanese government [grant number 26870124]. Views expressed in this article are those of the authors and do not necessarily reflect the official views of the Bank of Japan. All remaining errors are our own. Publisher Copyright: {\textcopyright} 2015, {\textcopyright} 2015 Taylor & Francis.",
year = "2015",
month = jul,
day = "27",
doi = "10.1080/00036846.2015.1021454",
language = "English",
volume = "47",
pages = "3710--3722",
journal = "Applied Economics",
issn = "0003-6846",
publisher = "Routledge",
number = "34-35",
}