TY - JOUR
T1 - Consumption volatility, production volatility, spot-rate volatility, and the returns on treasury bills and bonds
AU - Lauterbach, Beni
PY - 1989/9
Y1 - 1989/9
N2 - The study documents a relation between the expected holding-period premiums on Treasury bills and the ex ante conditional volatilities of consumption, spot (one-month) interest rate, and industrial production. A model portraying the relation as a risk and return phenomenon is presented and tested. Consistent with the model, the coefficients of the relation appear to depend on the sensitivity of the realized premium to the ex post shocks in consumption, industrial production, and the spot rate. The model fits the data better than the traditional term premium models.
AB - The study documents a relation between the expected holding-period premiums on Treasury bills and the ex ante conditional volatilities of consumption, spot (one-month) interest rate, and industrial production. A model portraying the relation as a risk and return phenomenon is presented and tested. Consistent with the model, the coefficients of the relation appear to depend on the sensitivity of the realized premium to the ex post shocks in consumption, industrial production, and the spot rate. The model fits the data better than the traditional term premium models.
UR - https://www.scopus.com/pages/publications/38249006324
U2 - 10.1016/0304-405x(89)90076-7
DO - 10.1016/0304-405x(89)90076-7
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:38249006324
SN - 0304-405X
VL - 24
SP - 155
EP - 179
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 1
ER -