Risk premia in the term structure of interest rates: a panel data approach

In this paper we propose a panel data approach to modeling the risk premium in the term structure of interest rates. Specifically, we develop a fixed maturity/random time effects model, which implies a time-invariant one-factor model. Our approach allows us to disentangle risk premia and unexpected...

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Veröffentlicht in:	Journal of international financial markets, institutions & money institutions & money, 2003-07, Vol.13 (3), p.211-236
Hauptverfasser:	Bams, Dennis, Wolff, Christian C.P.
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital market Expectations hypothesis Finance Fixed maturity/random time effects model Interest rates Risk Risk premium Term structure Time series
Online-Zugang:	Volltext
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