Trends of interest rates term structure in US secular data
Résumé
U.S. Secular data published by Friedman and Schwartz (1982) tend to confirm the standard arbitrage model of the interest rates term structure when expectations are of the regressive - adaptive form, when the risk premium depends both from past volatility of interest rates and from the risk of default, and finally when an error correction mechanism describes the market convergence towards the arbitrage relation.
Domaines
Economies et finances
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