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Time varying term premia and risk: the case of the Spanish interbank money market

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  • M. Dolores Robles Fernandez
  • Rafael Florez De Frutos

Abstract

This paper examines some standard procedures for evaluating the importance of risk in explaining time varying term premia, in the term structure of interest rates. It highlights their shortcomings and proposes an alternative VARMA approach for dealing with this problem. The procedure is illustrated with the analysis of risk in explaining the behaviour of two important term premia in the Spanish interbank money market.

Suggested Citation

  • M. Dolores Robles Fernandez & Rafael Florez De Frutos, 2000. "Time varying term premia and risk: the case of the Spanish interbank money market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 243-260.
    • Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:243-260
    DOI: 10.1080/096031000331662
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    References listed on IDEAS

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    1. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
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    Cited by:

    1. Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.

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