Biblioteca de la Universidad Complutense de Madrid

Risk premia in the term structure of swaps in pesetas

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Novales Cinca, Alfonso y Abad Romero, Pilar (2002) Risk premia in the term structure of swaps in pesetas. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0219, 2002, ]

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URL Oficial: http://eprints.ucm.es/7678/




Resumen

Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis, we present evidence supporting the existence of significant, time-varying risk premia. We then focus on characterizing some propreties of realized, ex-pst term-premia, and provide explanatory variables for them. We pay particular attention to the extent to which the levels of markets risk, default risk and liquidity risk explain the time evolution of risk premia at different maturities.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Term structure, Interest rate swaps, Expectations theory, Forwad rate, Risk premium
Materias:Ciencias Sociales > Economía > Mercados bursátiles y financieros
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2002
Número:0219
Código ID:7678
Depositado:04 Mar 2008
Última Modificación:06 Feb 2014 07:55

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