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Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan

✍ Scribed by Shigeyuki Hamori

Book ID
114293948
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
130 KB
Volume
12
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‐