Term Structure of Interest Rates in the Singapore Asian Dollar Market

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 robustnes...

Full description

Saved in:
Bibliographic Details
Main Authors: LEE, Tom K. Y., TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1991
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/376
https://ink.library.smu.edu.sg/context/soe_research/article/1375/viewcontent/Term_Structure_JAE_pv_1991.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Description
Summary: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.