ARE EXCESS RETURNS ON SWEDISH TREASURY BONDS PRODUCED BY PESO PHENOMENA ?

Project: Externally funded project

Project Details

Description

This project investigates the potential violations of the expectations hypothesis of the term structure discovered by Hördahl (1996) in Swedish Treasury Bond data for the 1989-1995 period. The aim of the project is to find out how much of these "violations" can be explained by Peso phenomena. Two such phenomena can easily be identified in this period: the first one being related to the exchange rate crises in the fall of 1992, and the second one to the referendum on the decision to join the European Union in the fall of 1994.
StatusFinished
Effective start/end date01.01.199931.12.2000