Hejazi, Walid; Lai, Huiwen; Yang, Xian - In: Canadian Journal of Economics 33 (2000) 1, pp. 133-148
In this paper monthly data are used over the period 1960:7 to 1995:12 to examine the determinants of term premia implicit in the Canadian T-bill term structure of interest rates. In sharp contrast to U.S. evidence, the conditional variances of Canadian macroeconomic variables are found to be...