Estimating time-varying risk premia in UK long-term government bonds

James M. Steeley*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


Simple models of time-varying risk premia are used to measure the risk premia in long-term UK government bonds. The parameters of the models can be estimated using nonlinear seemingly unrelated regression (NL-SUR), which permits efficient use of information across the entire yield curve and facilitates the testing of various cross-sectional restrictions. The estimated time-varying premia are found to be substantially different to those estimated using models that assume constant risk premia. © 2004 Taylor and Francis Ltd.

Original languageEnglish
Pages (from-to)367-373
Number of pages7
JournalApplied Financial Economics
Issue number5
Publication statusPublished - Mar 2004


  • time-varying risk premi
  • risk premia
  • long-term UK government bonds
  • nonlinear seemingly unrelated regression
  • NL-SUR
  • yield curve
  • cross-sectional restrictions


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