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

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.