Time-varying risk premia in the term structure of interest rates in New Zealand

摘要: University of Waikato and Reserve Bank New Zealand, Zealand An empirical analysis the term structure interest rates in during post-1985 financial liberalization period is presented. Particular emphasis placed upon effect time-varying risk premia equation. The premium assumed to depend on conditional variance excess holding yield. results indicate that expectations theory cannot be rejected at short end provided account taken volatility clustering rate data. There also support for relationship between long-term short-term rates. do not over- or under-sensitivity long current Initial statistical evidence suggests returns bonds can explained by their lagged values macroeconomic variables. However, this return pre...