Time varying term premia and risk: the case of the Spanish interbank money market
AbstractThis paper examines some standard procedures for evaluating the importance of risk in explaining time varying term premia, in the term structure of interest rates. It highlights their shortcomings and proposes an alternative VARMA approach for dealing with this problem. The procedure is illustrated with the analysis of risk in explaining the behaviour of two important term premia in the Spanish interbank money market.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 10 (2000)
Issue (Month): 3 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.
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