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Term premia comovement in German, Japanese, and U.S. domestic markets

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  • Helen Popper

Abstract

This paper gauges the openness of German, Japanese, and U.S. capital markets by examining their term premia comovement. The term premia appear to move together. This result suggests that the risky excess returns in the term structure behave as if the assets in the three countries were traded in a single integrated market. Copyright Kluwer Academic Publishers 1995

Suggested Citation

  • Helen Popper, 1995. "Term premia comovement in German, Japanese, and U.S. domestic markets," Open Economies Review, Springer, vol. 6(1), pages 49-62, January.
    • Handle: RePEc:kap:openec:v:6:y:1995:i:1:p:49-62
    DOI: 10.1007/BF00999043
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