Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/31453
Title: Time-varying risk premia in the single European treasury bill market
Authors: Mylonidis, Nikolaos
Keywords: Monetary policy -- Econometric models
Risk -- Mathematical models
Treasury bills -- Europe
Issue Date: 2006
Publisher: University of Piraeus. International Strategic Management Association
Citation: Mylonidis, N. (2006). Time-varying risk premia in the single European treasury bill market. European Research Studies Journal, 9(1-2), 65-84.
Abstract: This paper investigates the validity of the expectations hypothesis (EH) with time-varying, albeit stationary, term premia in the Ecu Treasury bill market. The analysis utilises the term premium factor representation proposed by Tzavalis and Wickens (1997) and the modified VAR approach by Cuthbertson et al. (1997). The findings indicate that once time-varying term premia are accounted for, estimated models cannot reject the predictions of the EH. However, these term premia do not exhibit strong persistence. The rejection of the spread restriction for (n,m)=(26-week,13-week) may be due to a small I(1) term premium and/or a slight misalignment of investment horizons.
URI: https://www.um.edu.mt/library/oar//handle/123456789/31453
ISSN: 11082976
Appears in Collections:European Research Studies Journal, Volume 9, Issue 1-2

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