Modeling the time-varying volatility of the paper-bill spread

Farooq Malik; Bradley T. Ewing; Jamie B. Kruse; Gerald J. Lynch

doi:10.1016/j.jeconbus.2009.03.002

Modeling the time-varying volatility of the paper-bill spread

Farooq Malik, Bradley T. Ewing, Jamie B. Kruse, Gerald J. Lynch

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

The spread between the rates on commercial paper and Treasury bills has received considerable attention in the literature for its role as an indicator of real economic activity. In this paper we empirically examine what happens when the volatility of the spread changes over time. We estimate a nonlinear model that enables us to discern the asymmetric impact of negative and positive shocks to the spread. We find that a positive shock has a larger impact on the volatility of the spread than does a negative shock.

Original language	English (US)
Pages (from-to)	404-414
Number of pages	11
Journal	Journal of Economics and Business
Volume	61
Issue number	5
DOIs	https://doi.org/10.1016/j.jeconbus.2009.03.002
State	Published - 2009
Externally published	Yes

Keywords

EGARCH
Paper-bill spread
Volatility

ASJC Scopus subject areas

General Business, Management and Accounting
Economics and Econometrics

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10.1016/j.jeconbus.2009.03.002

Cite this

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abstract = "The spread between the rates on commercial paper and Treasury bills has received considerable attention in the literature for its role as an indicator of real economic activity. In this paper we empirically examine what happens when the volatility of the spread changes over time. We estimate a nonlinear model that enables us to discern the asymmetric impact of negative and positive shocks to the spread. We find that a positive shock has a larger impact on the volatility of the spread than does a negative shock.",

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AU - Malik, Farooq

AU - Ewing, Bradley T.

AU - Kruse, Jamie B.

AU - Lynch, Gerald J.

PY - 2009

Y1 - 2009

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AB - The spread between the rates on commercial paper and Treasury bills has received considerable attention in the literature for its role as an indicator of real economic activity. In this paper we empirically examine what happens when the volatility of the spread changes over time. We estimate a nonlinear model that enables us to discern the asymmetric impact of negative and positive shocks to the spread. We find that a positive shock has a larger impact on the volatility of the spread than does a negative shock.

KW - EGARCH

KW - Paper-bill spread

KW - Volatility

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JO - Journal of Economics and Business

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ER -

Modeling the time-varying volatility of the paper-bill spread

Abstract

Keywords

ASJC Scopus subject areas

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