Risk Premia and Long Rates in Ireland

Don Bredin and Keith Cuthbertson
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Keith Cuthbertson: Imperial College, London

No 2/RT/00, Research Technical Papers from Central Bank of Ireland

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 only the spread and the change in (short) rates and they have ignored the excess holding period return. Our results are consistent with recent evidence for the UK (Cuthbertson and Nitzsche, 1998), in that we cannot reject the EH. However we do reject the presence of a time varying risk premia.

Pages: 22 pages
Date: 2000-05
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Citations: View citations in EconPapers (1)

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Journal Article: Risk Premia and Long Rates in Ireland (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:2/rt/00

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