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Risk premia in the term structure of swaps in pesetas

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Novales Cinca, Alfonso and 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 19, 2002, ]

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


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Abstract

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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Term structure, Interest rate swaps, Expectations theory, Forwad rate, Risk premium
Subjects:Social sciences > Economics > Stock exchanges
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2002
Number:19
ID Code:7678
Deposited On:04 Mar 2008
Last Modified:21 Jun 2017 11:21

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