Major results show that the estimated foreign exchange risk premium is time-varying with clusters of volatility persistence.

In the developed financial markets,the term structure of repo rate follows pure expectation hypothe- sis,and risk premium is not significant both economically and statistically.

With weekly data of repo term structures in the Shanghai Stock Exchange from January 4 1999 to November 8 2004,it is found that term structure of repo rates has obvious risk premium,and pure expectations hypothesis can t explain the term structure behavior.

An Analysis of the Liquidity Risk Premium for Voting and Non-voting Shares;