TIME-VARYING TERM PREMIA ON UNITED-STATES TREASURY BILLS AND BONDS
成果类型：
Article
署名作者：
KLEMKOSKY, RC; PILOTTE, EA
署名单位：
University of Wyoming; Indiana University System; Indiana University Bloomington
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(92)90046-5
发表日期：
1992
页码：
87-106
关键词：
摘要：
We use instrumental variables estimation to document variation in ex ante term premia on U.S. Treasury bills and bonds of maturities ranging from two months to twenty years. For the April 1959 to December 1989 sample period, ex ante term premia are found to be positively related to the ex ante variability in the nominal one-month risk-free rate of interest. Significant shifts in the stochastic process generating term premia are documented subsequent to the October 1979 and October 1982 shifts in monetary policy. Subperiod results document variation in ex ante term premia in each of the three monetary regimes.
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