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Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile

✍ Scribed by William Roberds; Charles H. Whiteman

Book ID: 114220978
Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 210 KB
Volume: 44
Category: Article
ISSN: 0304-3932
DOI: 10.1016/s0304-3932(99)00037-9

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## Abstract This paper models bond term premia empirically in terms of the maturity composition of the federal debt and other observable economic variables in a time‐varying framework with potential regime shifts. We present regression and out‐of sample forecasting results demonstrating that inform