Risk premia in Australian interest rates
β Scribed by Justin Douglas; Scott Bartley
- Book ID
- 108522486
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 971 KB
- Volume
- 41
- Category
- Article
- ISSN
- 1364-985X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Using a number of longβterm maturities and monthly data, 1989β1997, we provide a number of tests of the expectations hypothesis (EH) of the term structure. The main insight in this paper is the use of the excess holding period return to provide a proxy for a possible timeβvarying term p
T mediary that hedges its interest rate risk in the futures market. This interest rate risk has two components: asymmetric risk in the form of prepayment risk on fixed rate loans or through a cap feature on variable rate loans; and, symmetric risk in the form of interest rate level-risk and interest