Template-type: ReDIF-Paper 1.0
Author-Name: Alfonso Novales 
Author-Email: anovales@ccee.ucm.es
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/novales-cinca,-alfonso
Author-Person: pno7
Author-Workplace-Name: Departamento de Economía Cuantitativa. Universidad Complutense de Madrid
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Pilar Abad
Author-Workplace-Name: Departamento de Economía Aplicada. Universidad de Vigo
Title: Risk Premia in the Term Structure of Swaps in Pesetas
Abstract: Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by 
	the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations 
	Hypothesis, we present evidence supporting the existence of significant, time-varying risk premia. 
	We then focus on characterizing some propreties of realized, ex-pst term-premia, and provide explanatory 
	variables for them. We pay particular attention to the extent to which the levels of markets risk, default 
	risk and liquidity risk explain the time evolution of risk premia at different maturities.
Keywords: Term structure, Interest rate swaps, Expectations theory, Forwad rate, Risk premium.
Length: pages 22
Creation-Date: 2002
File-URL: https://eprints.ucm.es/id/eprint/7678/1/0219.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0219