The Term Structure of Euromarket Interest Rates: An Empirical Investigation

DSpace/Manakin Repository

Title:	The Term Structure of Euromarket Interest Rates: An Empirical Investigation
Author:	Campbell, John Y.; Clarida, Richard H. Note: Order does not necessarily reflect citation order of authors.
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.
Full Text & Related Files:	campbell_termstructure.pdf (373.1Kb; PDF)
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.
Published Version:	http://dx.doi.org/10.1016/0304-3932(87)90027-4
Terms of Use:	This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page:	http://nrs.harvard.edu/urn-3:HUL.InstRepos:3353759
Downloads of this work: