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Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States

✍ Scribed by Kin-Yip Ho; Albert K.C. Tsui

Book ID
114293775
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
132 KB
Volume
15
Category
Article
ISSN
0922-1425

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## Abstract We assess the ability of the factors proposed in previous research to account for the stochastic evolution of the term structure of the U.S. and U.K. swap spreads. Using as factor proxies the level, volatility, and slope of the zero‐coupon government yield curve as well as the Treasury‐