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Time-Varying Term Premia And The Behavior Of Forward Interest Rate Prediction Errors

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  • Sridhar Iyer

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  • Sridhar Iyer, 1997. "Time-Varying Term Premia And The Behavior Of Forward Interest Rate Prediction Errors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 503-507, December.
    • Handle: RePEc:bla:jfnres:v:20:y:1997:i:4:p:503-507
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1997.tb00262.x
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    References listed on IDEAS

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    1. Wolff, Christian C P, 1987. "Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," Journal of Finance, American Finance Association, vol. 42(2), pages 395-406, June.
    2. Evans, Martin D. D. & Lewis, Karen K., 1994. "Do stationary risk premia explain it all?: Evidence from the term structure," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 285-318, April.
    3. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-425, October.
    4. Wolff, Christian C, 1987. "Forward Exchange Rates and Expected Future Spot Rates," CEPR Discussion Papers 187, C.E.P.R. Discussion Papers.
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    Cited by:

    1. Alex Ilek & Tanya Suchoy & Nir Klein, 2006. "Estimating the premium implicit in the yields of Treasury Bills," Israel Economic Review, Bank of Israel, vol. 4(2), pages 53-83.
    2. Osmani Teixeira De Carvalho Guillen & Benjamin M. Tabak, 2009. "Characterising the Brazilian term structure of interest rates," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 103-114.
    3. Kopchak, Seth J., 2013. "The realized forward term premium in the repo market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 253-278.
    4. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Discussion Papers in Economics 07/06, Division of Economics, School of Business, University of Leicester.
    5. Toni Gravelle & James Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 691-705.
    6. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
    7. Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand.

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