consistent with economic theory. Forward interest rates also forecast future spot interest rates and future inflation. Thus, we …

financial markets: interest rate swap spreads. Our approach consists of jointly modeling the swap and Treasury term structures … significant. We also find that credit premia in swap spreads are positive on average. These premia, however, vary significantly …

simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …

securities are derivative contracts that are contingent on state variables that influence adverse selection costs. This is … because the netting of cash flows in these derivative contracts, in effect, alters the state-by-state seniority of different …

. The paper proposes an equilibrium theory of the term structure of the forward premium. By combining the theory of the term … expression for the expected one month forward premium. The theory will then impose highly non-linear cross equation restrictions … indicate that the data are consistent with the theory for Germany and inconsistent with the theory for Canada …

-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We … characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the …