Time varying term premia and risk: the case of the Spanish interbank money market
This 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.
Volume (Year): 10 (2000)
Issue (Month): 3 ()
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