The italian term structure of interest rates and the currency devaluation of september 1992: a factor-arch analysis

Authors

  • Loriana Pellinzon Greta Associati, Venezia
  • Guglielmo Weber Università di Venezia

DOI:

https://doi.org/10.6092/issn.1973-2201/1019

Abstract

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.

How to Cite

Pellinzon, L., & Weber, G. (1994). The italian term structure of interest rates and the currency devaluation of september 1992: a factor-arch analysis. Statistica, 54(3), 313–327. https://doi.org/10.6092/issn.1973-2201/1019

Issue

Vol. 54 No. 3 (1994)

Section

Articles

License

Copyright (c) 1994 Statistica

Creative Commons License

This work is licensed under a Creative Commons Attribution 3.0 Unported License.