Time Varying Risk Premia and the Predictive Power of the Australian Term Structure of Interest Rates
| Title | Time Varying Risk Premia and the Predictive Power of the Australian Term Structure of Interest Rates PDF eBook |
| Author | Lakshman Alles |
| Publisher | |
| Pages | 11 |
| Release | 1993 |
| Genre | Acceptances |
| ISBN | 9781863422260 |
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The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia
| Title | The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia PDF eBook |
| Author | Richard D. F. Harris |
| Publisher | |
| Pages | 15 |
| Release | 1998 |
| Genre | Interest rate risk |
| ISBN |
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Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand
| Title | Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand PDF eBook |
| Author | Dimitris Margaritis |
| Publisher | |
| Pages | 32 |
| Release | 1991 |
| Genre | Interest rates |
| ISBN |
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Risk Premia in the Term Structure of Interest Rates
| Title | Risk Premia in the Term Structure of Interest Rates PDF eBook |
| Author | Dennis Bams |
| Publisher | |
| Pages | 44 |
| Release | 2000 |
| Genre | Interest rate risk |
| ISBN |
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Modeling Time Variation of Risk Premia in the Term Structure of Interest Rates
| Title | Modeling Time Variation of Risk Premia in the Term Structure of Interest Rates PDF eBook |
| Author | Jill M. Jacobs |
| Publisher | |
| Pages | 248 |
| Release | 1993 |
| Genre | |
| ISBN |
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Changing Uncertainity and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates
| Title | Changing Uncertainity and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates PDF eBook |
| Author | Jae Won Park |
| Publisher | |
| Pages | 33 |
| Release | 1990 |
| Genre | Bonds |
| ISBN |
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Time-Varying Term Premia and the Behavior of Forward Interest Rate Prediction Errors
| Title | Time-Varying Term Premia and the Behavior of Forward Interest Rate Prediction Errors PDF eBook |
| Author | Sridhar Iyer |
| Publisher | |
| Pages | |
| Release | 1998 |
| Genre | |
| ISBN |
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In this paper I examine the time-varying expected term premium argument for the failure of the expectations hypothesis of the term structure of U.S. interest rates. Using an unobserved components model to estimate expected term premiums from March 1951 to January 1991, I find considerable variation in estimated premiums and significant persistence in their volatility over time.