The RATS Software Forum

A Forum for RATS Software and Econometrics Discussions
https://estima.com/forum/

Term Premium

https://estima.com/forum/viewtopic.php?t=1948

Page 1 of 1

Term Premium

Posted: Thu Oct 17, 2013 12:58 pm
by msrahman
Hello,

I need to calculated the term premium (the interest rate on long term bond-Expected interest rate on short term bond). Can anybody guide me on if RATS has any procure for this?

Thanks.

Sincerely,
Sajjadur Rahman.

Re: Term Premium

Posted: Thu Oct 17, 2013 9:10 pm
by TomDoan
By what method?

Re: Term Premium

Posted: Fri Oct 18, 2013 8:35 am
by msrahman
By Rudebusch-Wu measure (Rudebusch and Wu (2004, 2007)).

Sajjadur
All times are UTC-06:00
Page 1 of 1

Powered by phpBB® Forum Software © phpBB Limited