Conditional Time-varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market

نویسندگان

  • Alan C. Hess
  • Avraham Kamara
چکیده

We investigate the conditional interest rate risk premium in Treasury bill futures returns. A one-factor model predicts that the premium depends on the conditional variance. An Intertemporal CAPM based two-factor model predicts that it also depends on conditional covariance with the equity premium. Univariate and bivariate Integrated GARCH-in-Mean models suggest that the premium relates positively to its conditional variance and its conditional covariance with the equity premium. The conditional premium is positive, and large in the very volatile 1979-1982 period, but small afterwards. CONDITIONAL TIME-VARYING INTEREST RATE RISK PREMIUM: EVIDENCE FROM THE TREASURY BILL FUTURES MARKET

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تاریخ انتشار 2000