| Tittel: | Term Premia in Norwegian Government Bond Yields | | Ansvar: | Petter Eilif de Lange, Morten Risstad, Sjur Westgaard | | Forfatter: | Lange, Petter Eilif de  / Risstad, Morten / Westgaard, Sjur | | Materialtype: | Artikkel - elektronisk | | Signatur: | Beta | | Utgitt: | Oslo : Universitetsforlaget, 2022 | | Omfang: | S. 1-21 | | Serie: | Beta ; 1/2022 | | Innhold: | Abstract
The typically observed upward sloping nominal yield curve implies that investors demand positive risk premia – or term premia – to hold long-term nominal bonds. Fundamentally, the term premium is compensation to investors for bearing interest rate risk and a component in the term structure of yields. There is substantial evidence of sizeable and time-varying term premia. As opposed to yields, term premia are not directly observable. In this paper we estimate term premia in Norwegian government bond yields from a set of dynamic term structure models (DTSM), covering the period from 2003/01 until 2021/04. In line with international studies, we find evidence of declining term premia over the sample period.
Keywords: Yield curve modelling, dynamic term structure models, term premia JEL classification— C58, E4, G15, G120 | | Del av verk: | Beta 1/2022 |
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