Variable risk and the term structure

The variable risk hypothesis states that if individuals do perceive a change in risk, and if this change is taken into account in their decision-making process, then it seems plausible to include some measure of risk as a variable in empirical studies where risk is a factor. Some reasonable measures of risk are proposed based on the concept of a moving information set where the information used to evaluate risk is changing.over time. The resulting measure of risk is the moving coefficient of variation. The variable risk hypothesis is then applied to the term structure of interest rates. The empirical testing generates further support for the liquidity and term premium hypotheses, while a test of the segmented markets hypothesis using this measure of risk is not supportive.

Name thesis:degree_name

Ph. D.

Level thesis:degree_level

doctoral

Discipline thesis:degree_discipline

Economics

Department dc:contributor.department

Economics

Grantor dc:publisher

Virginia Polytechnic Institute and State University

Year dc:date.issued

1978

Author dc:creator

• Abbondante, Paul J.

Statement dc:rights

• In Copyright

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

en

Handle dc:identifier.uri

http://hdl.handle.net/10919/71130

OAI identifier oai:identifier

oai:vtechworks.lib.vt.edu:10919/71130