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• W2170879350 abstract "The paper presents the analysis of risk premium of the interest rate term structure for the Latvian money market. On the back of the approach used by F. Diebold, G. Rudebusch and B. Aruoba, it has been assumed that the coefficients of the Nelson–Siegel model are unobservable therefore the model of this research paper has been estimated using the Kalman filter. The risk premium behaviour has been obtained for interest rates of different maturities and forecasting horizons between May 2000 and July 2005. The results obtained indicate that the amount of the risk premium was significant and its volatility substantial between 2000 and 2002. In post-2002 period, its behaviour gradually stabilised and was marked by a downward trend after 2004." @default.
• W2170879350 created "2016-06-24" @default.
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• W2170879350 date "2006-02-13" @default.
• W2170879350 modified "2023-09-27" @default.
• W2170879350 title "A FACTOR MODEL OF THE TERM STRUCTURE OF INTEREST RATES AND RISK PREMIUM ESTIMATION FOR LATVIA'S MONEY MARKET" @default.
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