How do term premia change over time? Evidence from the US dollar LIBOR data using a fourier approximation

Paweł Miłobędzki

Abstract

n/a
Author Paweł Miłobędzki (FM / DE)
Paweł Miłobędzki,,
- Department of Econometrics
Journal seriesArgumenta Oeconomica, ISSN 1233-5835, (A 15 pkt)
Issue year2016
Nono 1 (36)
Pages67-86
Publication size in sheets0.95
Keywords in Englishterm structure of interest rates, expectations hypothesis, perfect foresight spread, time-varying term premium, Fourier approximation, US dollar LIBORs
DOIDOI:10.15611/aoe.2016.1.03
URL http://www.dbc.wroc.pl/Content/32145/Milobedzki_How_do_term_premia_change.pdf
Languageen angielski
LicenseOther; published final; Other open licence; with publication
Score (nominal)15
ScoreMinisterial score = 15.0, 20-12-2017, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 20-12-2017, ArticleFromJournal
Publication indicators WoS Impact Factor: 2016 = 0.108 (2) - 2016=0.235 (5)
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