Can the volatility of the federal funds rate explain the time-varying risk premium in treasury bill returns?

Journal of Macroeconomics

Volumn 23, Issue 1, 2001, Pages 73-97

  Elder, John ^a  

^a NORTH DAKOTA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035630523     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0164-0704(01)00155-0     Document Type: Article

References (31)

1. Atesoglu, H. Sonmez, Donald H. Dutkowsky. "Interest Rate Volatility and the Macro Rational Expectations Hypothesis." Journal of Macroeconomics 12 (Winter 1990): 97-109.
2. Bernanke, Ben S., and Blinder Alan S. "The Federal Funds Rate and the Channels of Monetary Transmission." American Economic Review 82 (September 1992): 901-21.
3. Bernanke, Ben S., and Mark Gertler. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission." Journal of Economics Perspectives 9 (June 1995): 27-48.
4. Bernanke, Ben S., and Ilian Mihov. "Measuring Monetary Policy." Quarterly Journal of Economics 113 (August 1998): 869-902.
5. Bollerslev, Tim. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31 (April 1986): 307-27.
6. Bollerslev, Tim, Robert Engle, and Jeffery Wooldridge. "A Capital Asset Pricing Model with Time Varying Covariances." Journal of Political Economy 96 (February 1988): 116-31.
7. Chen, Nai-fu, Richard Roll, and Stephen A. Ross. "Economic Forces and the Stock Market." Journal of Business 59 (July 1986): 383-403.
8. Christiano, Lawrence J., Martin Eichenbaum, and Charles L. Evans. "The Effects of Monetary Policy Shocks, Evidence from the Flow of Funds." Review of Economics and Statistics 78 (February 1996): 16-34.
9. Citibase: Citibank economic database, New York, Citibank, N.A., 1978.
10. Dutkowsky, Donald H. "Unanticipated Money Growth, Interest Rate Volatility, and Unemployment in the United States." Review of Economics and Statistics 69 (February 1987): 144-48.
11. Engle, Robert F. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica 50 (July 1982): 987-1007.
12. Engle, Robert F., David Lilien, and Russell Robins. "Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model." Econometrica 55 (March 1987): 391-408.
13. Engle, Robert F., Victor Ng and Michael Rothschild. "Asset Pricing with a Factor-ARCH Covariance Structure: Empirical Estimates for Treasury Bills." Journal of Econometrics 45 (July-August 1990): 213-37.
14. Evans, Paul. "The Effects on Output of Money Growth and Interest Rate Volatility in the United States." Journal of Political Economy 92 (April 1984): 204-22.
15. Ferson, Wayne E., and Campbell R. Harvey. "The Variation of Economic Risk Premiums." Journal of Political Economy 99 (April 1991): 385-415.
16. Friedman, Benjamin M. "Federal Reserve Policy, Interest Rate Volatility, and the U.S. Capital Raising Mechanism." Journal Money, Credit and Banking 14 (November 1982): 721-45.
17. Hamilton, James D. "Measuring the Liquidity Effect." American Economic Review 87 (March 1997): 80-97.
18. Harvey, Campbell R. "Time-Varying Conditional Covariances in Tests of Asset Pricing Models." Journal of Financial Economics 24 (October 1989): 289-317.
19. Mascaro, Angelo, and Allen H. Meltzer. "Long- and Short-Term Interest Rates in a Risky World." Journal of Monetary Economics 12 (November 1983): 485-518.
20. McCulloch, J. H., and Heon-Chul Kwon. "U.S. Term Structure Data: 1947-1991." Ohio State University Working Paper #93-6 1993.
21. McElroy, Marjorie, and Edwin Burmeister. "The Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model." Journal of Business and Economic Statistics 6 (January 1988): 1-41.
22. Murphy, Kevin M., and Robert H. Topel. "Estimation and Inference in Two-Step Econometric Models." Journal of Business and Economic Statistics 3 (October 1985): 370-79.
23. Ng, Victor, Robert F. Engle, and Michael Rothschild. "A Multi-Dynamic Factor Model for Stock Returns." Journal of Econometrics 52 (April-May 1992): 245-66.
24. Ross, Stephen. "The Arbitrage Theory of Capital Asset Pricing" Journal of Economic Theory 13 (December 1976): 341-60.
25. Rudebusch, Glenn D. "Do Measures of Monetary Policy in a VAR Make Sense?" International Economic Review 39 (November 1998): 907-31.
26. Sill, Keith. "Macroeconomic Risk and Treasury Bill Pricing: An Application of the Factor-ARCH Model." Federal Reserve Bank of Philadelphia working paper 93-25, 1993.
27. Sims, Christopher A., and Tao Zha. "Does Monetary Policy Generate Recessions?" Yale University manuscript, 1994.
28. Strongin, Steven. "The Identification of Monetary Policy Disturbances: Explaining the Liquidity Puzzle." Journal of Monetary Economics 35 (August 1994): 463-97.
29. Tatom, John A. "Interest Rate Variability: Its Link to the Variability of Monetary Growth and Economic Performance." Federal Reserve Bank of St. Louis Review (November 1984).
30. _. "Interest Rate Variability and Economic Performance: Further Evidence." Journal of Political Economy 93 (October 1985): 1008-18.
31. White, Halbert. "Maximum Likelihood Estimation of Misspecified Models." Econometrica 50 (January 1982): 1-25.