Time-Varying Term Premia and the Behavior of Forward Interest Rate Prediction Errors

In this paper I examine the time-varying expected term premium argument for the failure of the expectations hypothesis of the term structure of U.S. interest rates. Using an unobserved components model to estimate expected term premia from March 1951 to January 1991, I find considerable variation in estimated premia and significant persistence in their volatility over time.

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Year of publication:	1997
Authors:	Iyer, Sridhar
Published in:	Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 20.1997, 4, p. 503-07
Publisher:	Southern Finance Association - SFA Southwestern Finance Association - SWFA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008518694