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An empirical method of calculating the term premium. (2017). James, Jessica ; Rieger, Christoph ; Leister, Michael.
In: Quantitative Finance.
RePEc:taf:quantf:v:17:y:2017:i:12:p:1783-1793.

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Cocites: 69

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  1. Term premium dynamics and its determinants: the Mexican case. (2022). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar, Ana.
    In: BIS Working Papers.
    RePEc:bis:biswps:993.

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  2. Term Premium Dynamics and its Determinants: The Mexican Case. (2020). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar-Argaez, Ana.
    In: Working Papers.
    RePEc:bdm:wpaper:2020-18.

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References

References cited by this document

  1. Adrian T., 2008. Pricing the Term Structure with Linear Regressions

  2. Chadha J., 2014. The impact of the maturity of US government debt on forward rates and the term premium: New results from old data

  3. Hamilton J., 2006. The Yield Curve and the term Premium
    Paper not yet in RePEc: Add citation now

  4. Hordahl P., 2014. Inflation risk premia in the Euro area and the United States

  5. Kim D.H., 2005. An Arbitrage-free Three-factor Term Structure Model and the Recent Behavior of Long-term Yields and Distant-horizon Forward Rates

  6. Kim D.H., 2007. The bond market term premium: What is it, and how do we measure it?

  7. Mohanty M.S., 2016. Financial intermediation and monetary policy transmission in EMEs: What has changed post-2008 crisis?

  8. Praet P., 2016. In: Member of the Executive Board of the ECB, at ECB and Its Watchers XVII conference organised by Center for Financial Studies,
    Paper not yet in RePEc: Add citation now

  9. Rosenberg J.V., 2008. Signal or Noise? Implications of the term Premium for Recession Forecasting

  10. Rudebusch G.D., 2003. A macro-finance model of the term structure, monetary policy, and the economy

  11. Swanson E., 2007. What We Do and Don’t Know about the Term Premium

  12. Wright J.H., 2008. Term Premiums and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset

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