Die Fristigkeitsstruktur der Zinssätze: Theoretisches Konstrukt und empirische Evaluierung
JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Die Fristigkeitsstruktur der Zinssätze: Theoretisches Konstrukt und empirische Evaluierung
Untersuchung mit Daten des Kapitalmarktes der Bundesrepublik Deutschland
Wilhelm, Jochen | Brüning, Lars
Credit and Capital Markets – Kredit und Kapital, Vol. 25 (1992), Iss. 2 : pp. 259–294
1 Citations (CrossRef)
Additional Information
Article Details
Author Details
Jochen Wilhelm, Passau
Lars Brüning, Passau
Cited By
-
Ein neuer Ansatz zur Bestimmung der Zinsstruktur
Uhrig, Marliese
Walter, Ulrich
Credit and Capital Markets – Kredit und Kapital, Vol. 30 (1997), Iss. 1 P.116
https://doi.org/10.3790/ccm.30.1.116 [Citations: 0]
Abstract
The Term Structure of Interest Rates: Theoretical Construct and Empirical Evaluation
For a long time, the term structure of interest rates has been regarded as the central concept for analyzing the lending and the credit markets theoretically and empirically. The assumption of arbitrage-free markets (more precisely: markets with no risks and arbitrage-free gain possibilities) is usually applied at present as the theoretical foundation of this concept – an assumption that is justified only under idealized market conditions. This paper develops this assumption taking account of institutional constraints on arbitrage gain possibilities. The concept of markets approximately arbitrage-free is developed in a precise form for a whole class of variants; such precision is necessary for empirical evaluation. In two special cases, the result is a linear programming problem as estimation procedure for the empirically ascertained interest rate structure. The plausibility of these methods is verified for the German market for the first time on the basis of empiricial data; for this reason, this paper reports on a number of market-specific methodical details and selected results.