Article ID Journal Published Year Pages File Type
961048 Journal of Financial Markets 2013 26 Pages PDF
Abstract
► Examines the time-varying realized forward term premium for repurchase agreements. ► Repo and reverse-repo rates determine implied forward rates. ► Employs a bivariate measurement equation in a state space framework.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The realized forward term premium in the repo market
Authors
,