120
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Significance of risk modelling in the term structure of interest rates

&
Pages 237-247 | Published online: 13 Feb 2007

References

  • Alles , L . 1995 . Time varying risk premium and the predictive power of the Australian term structure of interest rates . Accounting and Finance , 35 : 77 – 96 .
  • Ang , A and Piazesi , A . 2003 . A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables . Journal of Monetary Economics , 50 : 745 – 87 .
  • Albentosa , MAP and Beyaert , A . 1998 . Testing the expectation theory in a market of short-term financial assets . Applied Financial Economics , 8 : 101 – 9 .
  • Bachmeier , L . 2002 . Is the term structure nonlinear? A semiparametric investigation . Applied Economics Letters , 9 : 151 – 3 .
  • Backus , D , Allain , G and Zin , S . 1989 . Risk premiums in the term structure: evidence from artificial economies . Journal of Monetary Economics , 24 : 371 – 400 .
  • Bams , D and Wolff , C . 2003 . Risk premia in the term structure of interest rates: a panel data approach . Journal of International Financial Markets, Institutions and Money , 13 : 211 – 36 .
  • Bansal , R and Coleman II , W . 1996 . A monetary explanation of the equity premium, term premium, and risk free rate puzzles . Journal of Political Economy , 104 : 1135 – 71 .
  • Bansal , R and Zhou , H . 2002 . Term structure of interest rates with regime shifts . Journal of Finance , 57 : 1997 – 2043 .
  • Bekaert , G and Hodrick , R . 2001 . Expectations hypotheses tests . Journal of Finance , 56 : 1357 – 99 .
  • Bekaert , G , Hodrick , R and Marshall , D . 1997 . On biases in the test of the expectations hypothesis of the term structure of interest rates . Journal of Financial Economics , 44 : 309 – 48 .
  • Bekdache , B and Baum , C . 1998 . Temporal aggregation and the behavior of Bond term Premia: An empirical investigation . Research Branch, Working Paper No. 409 . 1998 . Department of Economics, Boston College .
  • Bisignano , JR . 1987 . A study of efficiency and volatility in government securities markets . Bank for International Settlements, Basle, mimeo
  • Campbell , JY . 1995 . Some lessons from the yield curve . Journal of Economic Perspectives , 9 : 129 – 52 .
  • Campbell , J and Clarida , R . 1987 . The term structure of Euromarket interest rates: an empirical investigation . Journal of Monetary Economics , 19 : 25 – 44 .
  • Campbell , J and Shiller , R . 1991 . Yield spreads and interest rate movements: a bird's eye view . Review of Economic Studies , 58 : 495 – 514 .
  • Carriero , A , Favero , CA and Kaminska , I . 2006 . Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates . Journal of Econometrics , 127 : 339 – 58 .
  • Clare , A , Maras , M and Thomas , S . 1995 . The integration and efficiency of international bond markets . Journal of Business Finance and Accounting , 22 : 313 – 22 .
  • Clarida , R , Sarno , L , Taylor , M and Valente , G . 2006 . The role of asymmetries and regime shifts in the term structure of interest rates . Journal of Business , 79 : 1193 – 225 .
  • Cutler , D , Poterba , J and Summers , L . 1989 . Speculative Dynamics . NBER Working Paper No. 3242 . 1989 , Cambridge, MA.
  • Elton , E , Gruber , M and Mei , J . 1996 . Return generating process and the determinants of term premiums . Journal of Banking and Finance , 20 : 1251 – 69 .
  • Engle , RF . 1982 . Autoregressive conditional heteroskedasticity, with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1008 .
  • Engle , RF and Ng , VK . 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 987 – 1007 .
  • Engle , RF , Ng , VK and Rothschild , M . 1990 . Asset pricing with a factor arch covariance structure: empirical estimates for Treasury Bills . Journal of Econometrics , 45 : 213 – 37 .
  • Fama , EF . 1984a . The information in the term structure . Journal of Financial Economics , 13 : 509 – 28 .
  • Fama , EF . 1984b . Term premiums in bond returns . Journal of Financial Economics , 13 : 529 – 46 .
  • Fama , EF . 1986 . Term premiums and default premiums in the money markets . Journal of Financial Economics , 17 : 175 – 96 .
  • Ghazali , NA and Low , S . 2002 . The expectation hypothesis in emerging financial markets: the case of Malaysia . Applied Economics , 34 : 1147 – 56 .
  • Guest , R and McLean , A . 1998 . New evidence of the expectations theory of the term structure of Australian Commonwealth Government Treasury yields . Applied Financial Economics , 8 : 81 – 7 .
  • Halkos , G and Krintas , T . 2006 . Behavioural and fundamental explanations of discounts on closed end funds: an empirical analysis . Applied Financial Economics , 16 : 395 – 404 .
  • Hall , S and Miles , D . 1992 . Measuring efficiency and risk in the major bond markets . Oxford Economic Papers , 44 : 599 – 625 .
  • Hamburger , MJ and Platt , EN . 1975 . The expectations hypothesis and the efficiency of the treasury bill market . Review of Economics and Statistics , 57 : 190 – 9 .
  • Harris , R . 2004 . The rational expectations hypothesis and the cross-section of bond yields . Applied Financial Economics , 14 : 105 – 12 .
  • Hicks , JR . 1939 . Value and Capital , Oxford : Oxford University Press .
  • Jones , D and Roley , V . 1983 . Rational expectations and the expectations model of the term structure . Journal of Monetary Economics , 12 : 453 – 65 .
  • Kozicki , S and Tinsley , PA . 2001 . Shifting endpoints in the term structure of interest rates . Journal of Monetary Economics , 47 : 613 – 57 .
  • Lee , JH and Hoje , J . 1996 . Time varying term premium In T-bill futures rates and the expectations hypothesis . Review of Quantitative Finance and Accounting , 6 : 149 – 60 .
  • Lekkos , I and Milas , C . 2004 . Time-varying excess returns on UK government bonds: a non-linear approach . Journal of Banking & Finance , 28 : 45 – 62 .
  • Levy , H and Brooks , R . 1989 . An empirical analysis of term premium using stochastic dominance . Journal of Banking and Finance , 13 : 245 – 60 .
  • Mankiw , G . 1986 . The term structure of interest rates revisited . Brooking Papers on Economic Activity , 1 : 61 – 110 .
  • Mankiw , G and Miron , J . 1986 . The changing behavior of the term structure of interest rates . The Quarterly Journal of Economics , 101 : 211 – 28 .
  • Mayfield , ES and Murphy , RG . 1992 . Interest rate parity and the exchange risk premium: evidence from panel data . Economics Letters , 40 : 319 – 24 .
  • Mayfield , ES and Murphy , RG . 1996 . Explaining the term structure of interest rates: a panel data approach . Journal of Economics and Business , 48 : 11 – 21 .
  • McCulloch , JH . 1975 . The tax-adjusted yield curve . Journal of Finance , 30 : 811 – 30 .
  • McDermott , J . 1998 . Testing the expectations model of the term structure in times of financial transition . Applied Financial Economics , 8 : 663 – 9 .
  • Modigliani , F and Sutch , R . 1966 . Innovations in interest rate policy . American Economic Review , 56 : 178 – 97 .
  • Papadamou , S and Stephanides , G . 2004 . Evaluating the style-based risk model for equity mutual funds investing in Europe . Applied Financial Economics , 14 : 751 – 60 .
  • Richardson , M , Richardson , P and Smith , T . 1992 . The monotonicity of the term premium . Journal of Financial Economics , 31 : 97 – 106 .
  • Sarno , L and Thornton , DL . 2005 . The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation . Journal of Banking and Finance , 27 : 1079 – 119 .
  • Sarno , L , Thornton , DL and Valente , G . 2006 . The empirical failure of the expectations hypothesis of the term structure of bond yields . CEPR Discussion Paper No. 5259 . 2006 .
  • Shiller , RJ . 1979 . The volatility of long-term interest rates and expectations models of the term structure . The Journal of Political Economy , 87 : 1190 – 219 .
  • Shiller , RJ . 1990 . “ The term structure of interest rates ” . In Handbook of Monetary Economics , Edited by: Friedman , BM and Hahn , FH . Vol. 1 , New York : Elsevier Science .
  • Shiller , RJ , Campbell , JY and Schoenholtz , KL . 1983 . Forward rates and future policy: interpreting the term structure of interest rates . Brookings Papers on Economic Activity , 1 : 173 – 217 .
  • Steeley , J . 2004 . Estimating time-varying risk premia in UK long-term government bonds . Applied Financial Economics , 14 : 367 – 73 .
  • Taylor , MP . 1992 . Modeling the yield curve . Economic Journal , 102 : 524 – 37 .
  • Tsuji , C . 2005 . Are investors rational in international bond markets? . Applied Financial Economics Letters , 1 : 169 – 75 .
  • Wolters , J . 1998 . Cointegration and German bond yields . Applied Economics Letters , 5 : 497 – 502 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.