| Titre | Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire | |
|---|---|---|
| Auteur | Roberto Violi, Francesco Drudi | |
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Revue | Economie et prévision |
| Numéro | no 140-141, 1999/4-5 Economie des marché financiers | |
| Rubrique / Thématique | Économie des marchés financiers |
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| Page | 21-34 | |
| Résumé anglais |
The Term Structure of Interest Rates, Volatility and Risk Premia : Applications to the Eurolira
Market by Francesco Drudi and Roberto Violi
This paper studies the information content of the term structure of interest rates on the Eurolira market. By estimating a single-factor equilibrium model of the term structure (Cox, Ingersoll and Ross, 1985), we derive measures of expectations, volatility and risk premia embodied in nominal interest rates and option prices. We provide econometric evidence indicating that Eurolira nominal interest rates display (near) unit-root behaviour. This property also extends to spreads between short and long rates. (Near) unit-roots have far-reaching implications as regards estimating parameters for factor models of the term structure. The quality of such estimates is crucial to measuring risk-premia and volatility and especially to assessing the empirical validity of the Expectations Hypothesis of the Term Structure (EHTS). Empirical tests suggest that the size and volatility of risk premia observed on the Eurolira market are substantial enough to warrant rejecting the EHTS. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1999_num_140_4_5972 |
