The Term Structure of Euromarket Interest Rates: An Empirical Investigation

This paper is an empirical investigation of the predictability and comovement of risk premia in the term structure of Euromarket interest rates. We show that variables which have been used as proxies for risk premia on uncovered foreign asset positions also predict excess returns in Euroniarket term本论文针对欧洲货币市场（Euromarket）利率期限结构中风险溢价（risk premia）的可预测性与联动性展开实证研究。我们证实，此前被用作无抛补外汇资产头寸（uncovered foreign asset positions）风险溢价代理变量的各类指标，同样可用于预测Euroniarket市场相关期限维度下的超额收益。