RISK PREMIA AND LONG RATES IN IRELAND By

Abstract

Using a number of long-term maturities and monthly data, 1989-1997, 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 time varying term premium. Nearly all previous studies using the VAR methodology have used… (More)

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