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Trends of interest rates term structure in US secular data

Author

Listed:
  • Georges Prat

    (MDEM - Modélisation de la dynamique économique et monetaire - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

U.S. Secular data published by Friedman and Schwartz (1982) tend to confirm the standard arbitrage model of the interest rates term structure when expectations are of the regressive - adaptive form, when the risk premium depends both from past volatility of interest rates and from the risk of default, and finally when an error correction mechanism describes the market convergence towards the arbitrage relation.

Suggested Citation

  • Georges Prat, 1999. "Trends of interest rates term structure in US secular data," Post-Print halshs-00173020, HAL.
  • Handle: RePEc:hal:journl:halshs-00173020
    as

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