Publication Type
Journal Article
Version
publishedVersion
Publication Date
4-1991
Abstract
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.
Discipline
Asian Studies | Econometrics | Economics | Finance
Research Areas
Econometrics
Publication
Journal of Applied Econometrics
Volume
6
Issue
2
First Page
143
Last Page
152
ISSN
0883-7252
Identifier
10.1002/jae.3950060204
Publisher
Wiley
Citation
LEE, Tom K. Y. and TSE, Yiu Kuen.
Term Structure of Interest Rates in the Singapore Asian Dollar Market. (1991). Journal of Applied Econometrics. 6, (2), 143-152.
Available at: https://ink.library.smu.edu.sg/soe_research/376
Copyright Owner and License
Publisher
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1002/jae.3950060204