The term structure of interest rates during a financial reform: Argentina 1977-81

Leonardo Leiderman*, Mario I. Blejer

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

This paper studies the term structure of interest rates in Argentina following the financial and monetary reforms of 1977 which mainly entailed the liberalization and deregulation of the financial system. Using first order conditions from the international capital asset pricing model, we derived a set of term-structure equations expressed in terms of returns data alone. Empirical implementation of these equations yielded results that are consistent with an important degree of time variation in term premiums.

Original languageEnglish
Pages (from-to)285-299
Number of pages15
JournalJournal of Development Economics
Volume25
Issue number2
DOIs
StatePublished - Apr 1987

Fingerprint

Dive into the research topics of 'The term structure of interest rates during a financial reform: Argentina 1977-81'. Together they form a unique fingerprint.

Cite this