haku: @indexterm cointegration / yhteensä: 76
viite: 52 / 76
| Tekijä: | Madura, J. Wiley, M. Zarruk, E. |
| Otsikko: | Cointegration of term structure premiums across countries |
| Lehti: | Journal of Multinational Financial Management
1998 : NOV, VOL. 8:4, p. 393-412 |
| Asiasana: | COINTEGRATION FINANCE MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | Research investigating the behaviour of the term premium in interest rates has not previously analyzed the way in which one country's term premium may influence the term premiums of others. Because capital flows between developed countries are large, the same underlying factors that influence premiums in one country may be transmitted to others. The authors test specifically for the existance of cointegration of term premiums across six developed countries. The authors find support for two cointegrating vectors, suggesting as many as four common trends or underlying factors influencing these premiums. |
SCIMA