The italian term structure of interest rates and the currency devaluation of september 1992: a factor-arch analysis

L. Pellinzoni & G. Weber
This paper estimates the Italian term structure of the interest rates. The focus of the paper is to explain the term premium by the identification of the observable factors which influence this premium. Using a Factor-Arch model it is found that two factors determine the term premium. One of the factors is national and the other one is international.