Table 9 Uncertainty and the size of the absolute term premium by sub-periods

(1)

(2)

(3)

(4)

(5)

(6)

|r_3M|

|r_12M|

|r_3M|

|r_12M|

|r_3M|

|r_12M|

(a) From March 1991 through December 1999

Constant

− 0.13

0.09

0.33

0.63 ^∗∗∗

0.45 ^∗∗∗

0.66 ^∗∗∗

(0.11)

(0.15)

(0.2)

(0.18)

(0.12)

(0.08)

VIX

− 0.01

− 0.01 ^∗∗∗

(0.01)

(0.00)

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

-0.74

(0.66)

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

-0.02

(0.99)

g a r c h _{12 M}

0.16 ^∗∗∗

(0.06)

g a r c h _{3 M}

0.27 ^∗∗∗

(0.08)

Adjusted R²

0.24

0.12

− 0.06

− 0.03

0.02

0.03

Observations

106

106

19

19

106

106

(b) From January 2000 through August 2016

Constant

0.02

0.03

0.06 ^∗∗∗

0.11 ^∗∗∗

0.08 ^∗∗∗

0.19 ^∗∗∗

(0.03)

(0.04)

(0.02)

(0.03)

(0.02)

(0.05)

VIX

0.00 ^∗

0.00

(0.00)

(0.00)

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

0.43 ^∗∗∗

(0.11)

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

0.37 ^∗∗

(0.16)

g a r c h _{12 M}

0.18 ^∗∗∗

(0.04)

g a r c h _{3 M}

0.11 ^∗∗∗

(0.04)

Adjusted R²

0.19

0.14

0.07

0.09

0.01

0.01

Observations

200

200

200

200

200

200