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Risk structure of interest rates: an empirical analysis for Deutschemark-denominated bonds

Düllmann, K.; Uhrig-Homburg, M.; Windfuhr, Mark

Abstract:
This paper empirically studies the risk structure of interest rates for Deutschemark-denominated bonds. For this purpose, we estimate term structures of interest rates using the parsimonious fitting function of Nelson and Siegel (1987) for virtually risk free Governmant bonds and five different rating categories classified by Moody's ratings (Aaa, Aa, A, Baa, Ba). The sample period covers the time interval from July 1990 to December 1996. We investigate the pricing errors resulting from our estimation procedure and analyse credit spreads over the term structure of Government bonds.


Zugehörige Institution(en) am KIT Institut für Finanzwirtschaft, Banken und Versicherungen (FBV)
Publikationstyp Zeitschriftenaufsatz
Jahr 2000
Sprache Englisch
Identifikator ISSN: 1354-7798, 1468-036X
KITopen ID: 1000016920
Erschienen in European financial management
Band 6
Seiten 367-388
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