Table 6 Uncertainty and the size of the absolute term premium for positive and negative values

(1)

(2)

(3)

(4)

(5)

(6)

r _{3 M}

r _{12 M}

r _{3 M}

r _{12 M}

r _{3 M}

r _{12 M}

(a) For positive values of the term premium

Constant

0.01

0.04

0.05

0.15

0.15 ^∗∗

0.38 ^∗∗∗

(0.04)

(0.07)

(0.06)

(0.1)

(0.06)

(0.08)

VIX

− 0.00

− 0.00

(0.00)

(0.00)

d i s p e r s i o n _{12 M}

0.5 ^∗∗

(0.23)

d i s p e r s i o n _{3 M}

0.93 ^∗∗

(0.46)

g a r c h _{12 M}

0.19 ^∗∗∗

(0.05)

g a r c h _{3 M}

0.16 ^∗∗∗

(0.04)

Adjusted R²

0.17

0.15

0.09

0.03

0

0

Observations

123

134

87

102

123

134

(b) For negative values of the term premium

Constant

0.07 ^∗

− 0.03

− 0.06 ^∗∗∗

− 0.16 ^∗∗∗

− 0.24 ^∗∗∗

− 0.35 ^∗∗∗

(0.04)

(0.04)

(0.01)

(0.03)

(0.08)

(0.12)

VIX

− 0.00

− 0.00

(0.00)

(0.00)

d i s p e r s i o n _{12 M}

− 0.12

(0.14)

d i s p e r s i o n _{3 M}

− 0.23 ^∗∗

(0.1)

g a r c h _{12 M}

− 0.17 ^∗∗∗

(0.03)

g a r c h _{3 M}

− 0.23 ^∗∗∗

(0.05)

Adjusted R²

0.48

0.34

0.06

0

0.01

0

Observations

183

172

132

117

183

172