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Risk Premia in Term Structure of Interest Rates: A Panel Data Approach

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Abstract

This paper proposes a panel data approach to model the risk premium in the term structure of interest rate.

Suggested Citation

  • Bams, D. & Wolff, C., 1998. "Risk Premia in Term Structure of Interest Rates: A Panel Data Approach," Papers 98-50, Southern California - School of Business Administration.
    • Handle: RePEc:fth:socabu:98-50
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    Cited by:

    1. is not listed on IDEAS
    2. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2015. "The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 301-313.
    3. Christensen, Bent Jesper & van der Wel, Michel, 2019. "An asset pricing approach to testing general term structure models," Journal of Financial Economics, Elsevier, vol. 134(1), pages 165-191.
    4. Jitmaneeroj, Boonlert, 2018. "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, vol. 46(C), pages 324-341.
    5. Richard Harris, 2004. "The rational expectations hypothesis and the cross-section of bond yields," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 105-112.
    6. George Halkos & Stephanos Papadamou, 2007. "Significance of risk modelling in the term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 237-247.
    7. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.

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    Keywords

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    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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