Are there constant risk premia on the swedish money market?
Abstract: This thesis investigates, through statistical and economical analysis, whether it can be shown that risk premia on the Swedish money market are constant or not. It also means to investigate what factors drive risk premia. The study shows that it is possible to predict nonzero prediction errors. This means that the risk premium of a long security over a short one is not constant over time. Also, inflation, exchange rate policy, the slope of the yield curve and even time affects the risk premia of different securities.
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