International interest-rate risk premia in affine term structure models

Geiger, Felix

International interest-rate risk premia in affine term structure models

dc.contributor.author	Geiger, Felix	de
dc.date.accessioned	2024-04-08T08:42:51Z
dc.date.available	2024-04-08T08:42:51Z
dc.date.created	2009-09-18
dc.date.issued	2009
dc.description.abstract	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.	en
dc.identifier.swb	310913306
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/5273
dc.identifier.urn	urn:nbn:de:bsz:100-opus-3841
dc.language.iso	eng
dc.relation.ispartofseries	Hohenheimer Diskussionsbeiträge; 316
dc.rights.license	publ-ohne-pod	en
dc.rights.license	publ-ohne-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_ubh.php
dc.subject	Term structure	en
dc.subject	Term premia	en
dc.subject	Kalman filter	en
dc.subject	Maximum likelihood	en
dc.subject.ddc	330
dc.subject.gnd	Zinsstruktur	de
dc.subject.gnd	Kalman-Filter	de
dc.subject.gnd	Maximum-Likelihood-Schätzung	de
dc.title	International interest-rate risk premia in affine term structure models	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.export.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}, }
local.export.bibtexAuthor	Geiger, Felix
local.export.bibtexKey	Geiger2009
local.export.bibtexType	@techreport
local.faculty.number	3	de
local.institute.number	520alt	de
local.opus.number	384
local.series.issueNumber	316
local.series.title	Hohenheimer Diskussionsbeiträge
local.university	Universität Hohenheim	de
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Institut für Volkswirtschaftslehre (bis 2010)	de

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