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Estimating Risk Premia in Money Market Rates · Study

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PreprintEstimating Risk Premia in Money Market Rates

Alain C. J. Durre2003

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Preprintgreen2003

Estimating Risk Premia in Money Market Rates

Alain C. J. Durre · Snorre Evjen · Rasmus Pilegaard

32 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2012The Econometrics of Financial Markets 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence 1986Cointegration and Tests of Present Value Models 1989Yield Spreads and Interest Rate Movements: A BirdAS Eye View 2011Term Structure of Interest Rates 1997Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 1998Using the Term Structure of Interest Rates for Monetary Policy 2001The ECB monetary policy strategy and the money market

Cited by

2004The Pricing Behaviour of Italian Firms: New Survey Evidence on Price Stickiness 2004Comparing Economic Dynamics in the EU and CEE Accession Countries 2003Short-term estimates of euro area real GDP by means of monthly data 2003Towards the estimation of equilibrium exchange rates for CEE acceding countries: methodological issues and a panel cointegration perspective *2021Measuring Interest Rate Expectations in Canada

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Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations32

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.411584

openalex_workW1594347035

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2008

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