Revisiting The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Revisiting The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : George Bulkley
language : en
Publisher:
Release Date : 2008
Revisiting The Expectations Hypothesis Of The Term Structure Of Interest Rates written by George Bulkley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
The expectations hypothesis of the term structure has been decisively rejected by a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero coupon bond yields, we show that evidence against the expectations hypothesis became very much weaker following the widespread acceptance of its empirical failure to describe the behavior of interest rates in the early 1990s. Indeed, in the period 1991-2004, the expectations hypothesis cannot be rejected for most bond maturities. These results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized.
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
The Expectations Hypothesis And The Term Structure Of Interest Rates
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Author : Michael R. Sefchick
language : en
Publisher:
Release Date : 1983
The Expectations Hypothesis And The Term Structure Of Interest Rates written by Michael R. Sefchick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 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.
The Term Structure Of Interest Rates
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Author : Frank J. Bonello
language : en
Publisher:
Release Date : 1968
The Term Structure Of Interest Rates written by Frank J. Bonello and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1968 with Interest and usury categories.
New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author :
language : en
Publisher:
Release Date : 1987
New Hope For The Expectations Hypothesis 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.
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.
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.
The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Gianna Boero
language : en
Publisher:
Release Date : 1997
The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Gianna Boero 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.
The Term Structure Of Interest Rates
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Author : R. S. Masera
language : en
Publisher:
Release Date : 1972
The Term Structure Of Interest Rates written by R. S. Masera and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with Business & Economics categories.