Time-Varying Risk Premia in the Single European Treasury Bill Market (Journal article)
This paper investigates the validity of the expectations hypothesis (EH) with time-varying, albeit stationary, term premia in the Ecu Treasury bill market. The analysis utilises the term premium factor representation proposed by Tzavalis and Wickens (1997) and the modified VAR approach by Cuthbertson et al. (1997). The findings indicate that once time-varying term premia are accounted for, estimated models cannot reject the predictions of the EH. However, these term premia do not exhibit strong persistence. The rejection of the spread restriction for (n,m)=(26 week,13-week) may be due to a small I(1) term premium and/or a slight misalignment of investment horizons.
|Institution and School/Department of submitter:||Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών|
|Keywords:||Expectations hypothesis,Risk Premia,Perfect foresight regressions,VAR|
|Appears in Collections:||Άρθρα σε επιστημονικά περιοδικά ( Ανοικτά)|
Files in This Item:
There are no files associated with this item.
Please use this identifier to cite or link to this item:This item is a favorite for 0 people.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.