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DC Field | Value | Language |
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dc.contributor.author | Arize, Augustine | - |
dc.contributor.author | Christofi, Andreas | - |
dc.contributor.author | Kallianiotis, Ioannis N. | - |
dc.contributor.author | Malindretos, John | - |
dc.contributor.author | Scoulis, Moschos | - |
dc.date.accessioned | 2018-06-05T06:53:19Z | - |
dc.date.available | 2018-06-05T06:53:19Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Arize, A., Christofi, A., Kallianiotis, I., Malindretos, J., & Scoulis, M. (2013). A financial econometric analysis of the determinants of interest rate risk in the US. European Research Studies Journal, 16(1), 1-20. | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/30733 | - |
dc.description.abstract | We introduce a macroeconomic system which we use for interest rate determination, after which we generate the interest rate risk premium. Considering this risk premium function, we investigate, test and determine the macro-variables which affect the interest rate risk premia by using a GARCH(p,q) and an ARCH-M model. The empirical results examine ten different interest rate risk premia and fifteen factors. Factors with significant effects on risk premia are: the real risk-free rate of interest, the inflation rate, the unemployment rate, the growth of GDP and industrial production, the growth of national debt and current account deficit, the money supply growth, the yield differentials on S-T and L-T securities and other variables. The conclusion is that, if we can decrease the volatility of the aforementioned determinants, we can also reduce interest rate risk and, consequently, the risk premium, thus, improving social interest. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | University of Piraeus. International Strategic Management Association | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Interest rate risk -- United States | en_GB |
dc.subject | Gross domestic product -- United States | en_GB |
dc.subject | Econometrics | en_GB |
dc.subject | GARCH model | en_GB |
dc.title | A financial econometric analysis of the determinants of interest rate risk in the US | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.publication.title | European Research Studies Journal | en_GB |
Appears in Collections: | European Research Studies Journal, Volume 16, Issue 1 |
Files in This Item:
File | Description | Size | Format | |
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ERSJ,_16(1)_-_A1.pdf | 254 kB | Adobe PDF | View/Open |
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