The Risk Premiums in the PortugueseTreasury Bills Interest Rates
José Soares da Fonseca
GEMF/Faculdade de Economia, Universidade de Coimbra
One central subject in the literature on the term structure of interest rates is the empirical evidence about risk premiums and their stochastic processes. The traditional theory of the term structure accepted that risk premiums were zero or monotonically increased with the bonds’ maturity.
Cointegration methods provide a useful tool for obtaining estimations of the long-term mean of risk premiums. For this reason, these methods are applied in the present research to the Portuguese Treasury Bills Interest Rates series from 1990 to 1998, in order to show the nature of stable relationship between interest rates of different terms, and to obtain information about the forward premiums.