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Term structure of interest rates in the Singapore Asian dollar market
Author(s) -
Lee Tom K. Y.,
Tse Y. K.
Publication year - 1991
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950060204
Subject(s) - econometrics , autocorrelation , economics , term (time) , arch , liberian dollar , yield curve , skewness , interest rate , robustness (evolution) , us dollar , financial economics , exchange rate , mathematics , statistics , monetary economics , geography , finance , biochemistry , physics , chemistry , archaeology , quantum mechanics , gene
This paper investigates empirically the term structure of interest rates in the Singapore Asian Dollar Market. We consider extended versions of the ARCH‐M model of Engle, Lilien, and Robins (1987). The extended models permit autocorrelation, skewness and leptokurtosis in the residuals. The robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time‐varying term premium, and this conclusion is independent of the hypothesized ARCH model.