The term premium, time varying interest rate volatility and central bank policy reaction

DOI10.1016/S0165-1765(02)00059-9zbMath1011.91044MaRDI QIDQ1608822

Peter Kugler

Publication date: 13 August 2002

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

term structurevolatilityterm premiumGARCH-Mpolicy reaction

Mathematics Subject Classification ID

History, political science (91F10)

Cites Work

• The revival of the expectations hypothesis of the US term structure of interest rates
• A Theory of the Term Structure of Interest Rates

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