Trends of interest rates term structure in US secular data

Abstract : 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.
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https://halshs.archives-ouvertes.fr/halshs-00173020
Contributor : Georges Prat <>
Submitted on : Tuesday, September 18, 2007 - 4:16:01 PM
Last modification on : Tuesday, November 19, 2019 - 10:02:58 AM

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Georges Prat. Trends of interest rates term structure in US secular data. Advances in Investment Analysis and Portfolio Management, 1999, 6, pp.109-32. ⟨halshs-00173020⟩

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