Alternative Tests Of The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Alternative Tests Of The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Donal Bredin
language : en
Publisher:
Release Date : 2001
Alternative Tests Of The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Donal Bredin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Interest rates categories.
New Hope For The Expectations Hypoithesis Of The Term Structure Of Interest Rates
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Author :
language : en
Publisher:
Release Date : 1987
New Hope For The Expectations Hypoithesis Of The Term Structure Of Interest Rates written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.
New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Kenneth A. Froot
language : en
Publisher:
Release Date : 1990
New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Kenneth A. Froot and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium
Alternative Tests Of Rational Expectations Models
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Author : Robert J. Shiller
language : en
Publisher:
Release Date : 1980
Alternative Tests Of Rational Expectations Models written by Robert J. Shiller and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Economic forecasting categories.
A linearized version of the rational expectations models of the term structure is put forth in terms of a complete vector of equally spaced observations along the yield curve. A data series on intermediate maturity yields which meets the specifications of the model is presented. The model is tested against a specific and easily interpreted alternative. Earlier studies of rational expectations models, which used "volatility tests" or "likelihood ratio tests," are discussed.
On Biases In Tests Of The Expecations Hypothesis Of The Term Structure Of Interest Rates
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Author : David A. Marshall
language : en
Publisher:
Release Date : 1996
On Biases In Tests Of The Expecations Hypothesis Of The Term Structure Of Interest Rates written by David A. Marshall and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
We document extreme bias and dispersion in the small sample distributions of five standard regression tests of the expectations hypothesis of the term structure of interest rates. These biases derive from the extreme persistence in short interest rates. We derive approximate analytic expressions for these biases, and we characterize the small-sample distributions of these test statistics under a simple first-order autoregressive data generating process for the short rate. The biases are also present when the short rate is modeled with a more realistic regime-switching process. The differences between the small-sample distributions of test statistics and the asymptotic distributions partially reconcile the different inferences drawn when alternative tests are used to evaluate the expectations hypothesis. In general, the test statistics reject the expectations hypothesis more strongly and uniformly when they are evaluated using the small-sample distributions, as compared to the asymptotic distributions
On Biases In Tests Of The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Geert Bekaert
language : en
Publisher:
Release Date : 1996
On Biases In Tests Of The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Interest rates categories.
Tests And Applications Of The Rational Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Elias Tzavalis
language : en
Publisher:
Release Date : 1993
Tests And Applications Of The Rational Expectations Hypothesis Of The Term Structure Of Interest Rates written by Elias Tzavalis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Testing The Expectations Hypothesis Og The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift
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Author : M. Luanne
language : en
Publisher:
Release Date : 1999
Testing The Expectations Hypothesis Og The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift written by M. Luanne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift
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Author : Markku Lanne
language : en
Publisher:
Release Date : 2009
Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift written by Markku Lanne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983:1-1996:6. Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential - but unrealized - regime shifts provide support for the expectations hypothesis. The peso problem is modelled by means of a threshold autoregression. The estimation results suggest that potential regime shift had an effect on expectations concerning the longer-term interest rate only for a short while in the early phase of the sample period, when interest rates were at their highest.
Near Unit Roots And Regression Based Tests Of The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Markku Lanne
language : en
Publisher:
Release Date : 1997
Near Unit Roots And Regression Based Tests Of The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Markku Lanne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.