Decomposing the term structure into risk premia and expectations: Evidence for the Eurolira rates

被引:0
|
作者
Drudi, F
Violi, R
机构
来源
MONETARY POLICY AND INTEREST RATES | 1998年
关键词
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:36 / 66
页数:31
相关论文
共 50 条
  • [21] TERM PREMIA ON EURO RATES
    LOGUE, DE
    SWEENEY, RJ
    JOURNAL OF FINANCE, 1984, 39 (03): : 747 - 755
  • [23] Inflation risk premia and the expectations hypothesis
    Buraschi, A
    Jiltsov, A
    JOURNAL OF FINANCIAL ECONOMICS, 2005, 75 (02) : 429 - 490
  • [24] The Term Structure of Currency Carry Trade Risk Premia
    Lustig, Hanno
    Stathopoulos, Andreas
    Verdelhan, Adrien
    AMERICAN ECONOMIC REVIEW, 2019, 109 (12): : 4142 - 4177
  • [25] Risk Premia and Volatilities in a Nonlinear Term Structure Model
    Feldhutter, Peter
    Heyerdahl-Larsen, Christian
    Illeditsch, Philipp
    REVIEW OF FINANCE, 2018, 22 (01) : 337 - 380
  • [26] Stochastic correlation and risk premia in term structure models
    Chiarella, Carl
    Hsiao, Chih-Ying
    To, Thuy-Duong
    JOURNAL OF EMPIRICAL FINANCE, 2016, 37 : 59 - 78
  • [27] Bond Risk Premia and Gaussian Term Structure Models
    Feunou, Bruno
    Fontaine, Jean-Sebastien
    MANAGEMENT SCIENCE, 2018, 64 (03) : 1413 - 1439
  • [28] Term premia, real interest rates and catastrophes - Evidence from Chile
    Walker, E
    Lefort, F
    TRIMESTRE ECONOMICO, 2002, 69 (274): : 191 - 225
  • [29] Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico
    Beauregard, Remy
    Christensen, Jens H. E.
    Fischer, Eric
    Zhu, Simon
    JOURNAL OF INTERNATIONAL ECONOMICS, 2024, 151
  • [30] Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market
    Shareef H.
    Shijin S.
    Asia-Pacific Financial Markets, 2016, 23 (2) : 137 - 152