The term structure of interest rates in the onshore markets of the United States, Germany, and Japan

Helen Popper

No 382, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper investigates term premia behavior in U.S., German, and Japanese markets. Onshore returns are evaluated in order to focus on the co-movement of the term premia across a set of potentially heterogeneous markets. The paper extends the work of Campbell and Clarida [1987], who find that the term premia within the Euromarket appear to move together. In keeping with their approach, Hansen and Hodrick's [1983] latent variable model is used. The model constrains expected returns, conditional on an information set, to be proportional to one another. These restrictions are not rejected for the markets examined here, implying that the term premia behave as if in a single market.

Keywords: Interest rates; Germany; Japan (search for similar items in EconPapers)
Date: 1990
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