RT Generic
T1 International interest-rate risk premia in affine term structure models
A1 Geiger,Felix
WP 2009/09/18
AB I estimate a Gaussian two-factor affine term structure model of bond yields
for three countries, the United States, the United Kingdom and Germany. I find
a considerable time-varying component of excess returns in the data. They are
positively correlated with the slope of the term structure and negatively with the
short-term policy rate. In addition, the panel clearly indicates to co-movements in the same directions on an international level. When testing the estimated model for the expectations puzzle of the the term structure, at least at one end of the yield curve, this puzzle can be resolved when applying risk-adjusted yield changes.
K1 Zinsstruktur
K1 Kalman-Filter
K1 Maximum-Likelihood-Schätzung
PP Hohenheim
PB Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim
UL http://opus.uni-hohenheim.de/volltexte/2009/384