The Term Structure of Euromarket Interest Rates: An Empirical Investigation
AbstractThis paper is an empirical investigation of the predictability and co-movement of risk premia in the term structure of Euromarket interest rates. We present regression results which suggest that risk premia in three Euromarket term structures and on uncovered foreign asset positions move together. We test formally the hypothesis that these risk premia move in proportion to a single latent variable. We are unable to reject this hypothesis. The single latent variable model can be interpreted as in Hansen and Hodrick (1983) and Hodrick and Srivastava (1984) as a specialization of the ICAPM in which assets have constant betas on a single, unobservable benchmark portfolio.
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Bibliographic InfoPaper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3353759.
Date of creation: 1987
Date of revision:
Publication status: Published in Journal of Monetary Economics
Other versions of this item:
- Campbell, John Y. & Clarida, Richard H., 1987. "The term structure of euromarket interest rates : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 25-44, January.
- John Y. Campbell & Richard H. Clarida, 1986. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," NBER Working Papers 1946, National Bureau of Economic Research, Inc.
- John Y. Campbell & Richard H. Clarida, 1985. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Cowles Foundation Discussion Papers 772R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
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