Sarig is from the Department of Finance, University of Tel-Aviv, and Warga is from the Department of Finance, Columbia University. Thanks are due to Greg Batey, Avner Kalay, Suresh Sundaresan, an anonymous referee, and the Editors, David Mayers and René Stulz, for helpful comments. The Institute of Chartered Financial Analysts provided partial funding for this project. Arthur Warga wishes to thank Howard Clark, Jr. for a grant, part of which was used to complete this work.
Some Empirical Estimates of the Risk Structure of Interest Rates
Article first published online: 30 APR 2012
1989 The American Finance Association
The Journal of Finance
Volume 44, Issue 5, pages 1351–1360, December 1989
How to Cite
SARIG, O. and WARGA, A. (1989), Some Empirical Estimates of the Risk Structure of Interest Rates. The Journal of Finance, 44: 1351–1360. doi: 10.1111/j.1540-6261.1989.tb02657.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of our estimates of default-risk premia is the resemblance of their time profile to the theoretical time profile obtained by Merton (1974).