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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. 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.
    2. Wolff, Christian C, 1987. "Forward Exchange Rates and Expected Future Spot Rates," CEPR Discussion Papers 187, C.E.P.R. Discussion Papers.
    3. 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.
    4. 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.
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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. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
    4. Kopchak, Seth J., 2013. "The realized forward term premium in the repo market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 253-278.
    5. 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.
    6. 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.
    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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