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ResearchPaper
2009
International interest-rate risk premia in affine term structure models
International interest-rate risk premia in affine term structure models
Abstract (English)
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.
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Notes
Publication license
Publication series
Hohenheimer Diskussionsbeiträge; 316
Published in
Faculty
Faculty of Business, Economics and Social Sciences
Institute
Institut für Volkswirtschaftslehre (bis 2010)
Examination date
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Edition / version
Citation
Identification
DOI
ISSN
ISBN
Language
English
Publisher
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Classification (DDC)
330 Economics
Original object
Free keywords
Standardized keywords (GND)
Sustainable Development Goals
BibTeX
@techreport{Geiger2009,
url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5273},
author = {Geiger, Felix},
title = {International interest-rate risk premia in affine term structure models},
year = {2009},
school = {Universität Hohenheim},
series = {Hohenheimer Diskussionsbeiträge},
}