Term structure of interest rates in the Singapore Asian dollar market
实证研究新加坡亚洲美元市场的利率期限结构，使用扩展的ARCH-M模型，发现时变期限溢价显著存在，且结论稳健。
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.