Publication: The Term Structure of Euromarket Interest Rates: An Empirical Investigation
Open/View Files
Date
1987
Published Version
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
The Harvard community has made this article openly available. Please share how this access benefits you.
Citation
Campbell, John Y., and Richard H. Clarida. 1987. The term structure of euromarket interest rates: An empirical investigation. Journal of Monetary Economics 19(1): 25-44.
Research Data
Abstract
This paper is an empirical investigation of the predictability and co-movement of risk premia in the term structure of Euromarket interest rates. We present regression results which suggest that risk premia in three Euromarket term structures and on uncovered foreign asset positions move together. We test formally the hypothesis that these risk premia move in proportion to a single latent variable. We are unable to reject this hypothesis. The single latent variable model can be interpreted as in Hansen and Hodrick (1983) and Hodrick and Srivastava (1984) as a specialization of the ICAPM in which assets have constant betas on a single, unobservable benchmark portfolio.
Description
Other Available Sources
Keywords
Terms of Use
This article is made available under the terms and conditions applicable to Other Posted Material (LAA), as set forth at Terms of Service