Risk premia in the term structure of swaps in pesetas
- Alfonso Novales
- Pilar Abad
ISSN: 2341-2356
Año de publicación: 2002
Número: 19
Páginas: 1-22
Tipo: Documento de Trabajo
Otras publicaciones en: Documentos de Trabajo (ICAE)
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.