Risk Premia in the Term Structure of Swaps in Pesetas
AbstractSome characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis, we present evidence supporting the existence of significant, time-varying risk premia. We then focus on characterizing some propreties of realized, ex-pst term-premia, and provide explanatory variables for them. We pay particular attention to the extent to which the levels of markets risk, default risk and liquidity risk explain the time evolution of risk premia at different maturities.
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Bibliographic InfoPaper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0219.
Length: pages 22
Date of creation: 2002
Date of revision:
Term structure; Interest rate swaps; Expectations theory; Forwad rate; Risk premium.;
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- Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
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