| | (1) | (2) | (3) | (4) | (5) | (6) |
|---|
| | |r3M| | |r12M| | |r3M| | |r12M| | |r3M| | |r12M| |
|---|
Constant | − 0.05 | 0.04 | 0.06 ∗∗∗ | 0.14 ∗∗∗ | 0.22 ∗∗∗ | 0.36 ∗∗∗ |
| | (0.03) | (0.04) | (0.02) | (0.04) | (0.05) | (0.07) |
VIX | | | | | − 0.00 | − 0.00 |
| | | | | | (0.00) | (0.00) |
d
i
s
p
e
r
s
i
o
n
12
M
| | | | 0.39 ∗∗∗ | | |
| | | | | (0.13) | | |
d
i
s
p
e
r
s
i
o
n
3
M
| | | 0.49 ∗∗ | | | |
| | | | (0.19) | | | |
g
a
r
c
h
12
M
| | 0.17 ∗∗∗ | | | | |
| | | (0.03) | | | | |
g
a
r
c
h
3
M
| 0.21 ∗∗∗ | | | | | |
| | (0.04) | | | | | |
Adjusted R2 | 0.37 | 0.25 | 0.07 | 0.05 | 0 | 0 |
Observations | 306 | 306 | 219 | 219 | 306 | 306 |
- The table shows the regression results for uncertainty measures and the size of the absolute term premium (see Fig. 5 for a graphical illustration of the relationships). The uncertainty measure for futures is based on the GARCH model by Ding et al. (1993). The standard deviation of survey estimates is the standard deviation of all survey estimates for a specific survey date. The dataset contains monthly observations from March 1991 through August 2016. Note that the standard deviation of survey estimates is not available for the entire sample period but only from June 1998 onwards, which reduces the number of observations in our regression analysis. Heteroscedasticity- and autocorrelation-consistent standard errors (in parentheses) are applied, using the Newey and West (1987) correction. The number of lags used equals the length of the contract (number of months). ***, **, and * denote statistical significance (two-tailed) at the 1%, 5%, and 10% significance levels, respectively
