Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152655
Authors: 
Pilegaard, Rasmus
Durré, Alain
Evjen, Snorre
Year of Publication: 
2003
Series/Report no.: 
ECB Working Paper 221
Abstract: 
This paper empirically tests the expectations hypothesis on both daily EONIA swap rates and monthly EURIBOR rates extended backwards with German LIBOR rates. In addition, we quantify the size of the risk premia in the money market at maturities of one, three, six and nine months. Using implied forward and spot rates in a cointegrated VAR model, we find that the data support the expectations hypothesis in the euro area and in Germany prior to 1999. We find that risk premia are relatively limited at the shorter maturities but more significant at maturities of six and nine months. Furthermore, the results on LIBOR/EURIBOR rates tentatively indicate a downward shift in the structure of the risk premia after the introduction of the euro.
JEL: 
E43
C32
Document Type: 
Working Paper

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