10.6092/ISSN.1973-2201/1019
Pellinzoni, L.
L.
Pellinzoni
Weber, G.
G.
Weber
The italian term structure of interest rates and the currency devaluation of september 1992: a factor-arch analysis
Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
2013
PDF Document
2013
Statistica; Vol 54, No 3 (1994)
This paper estimates the Italian term structure of the interest rates. The focus of the paper is to explain the term premium by the identification of the observable factors which influence this premium. Using a Factor-Arch model it is found that two factors determine the term premium. One of the factors is national and the other one is international.
Statistica; Vol 54, No 3 (1994)