Testing The Expectations Hypothesis Og The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift
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Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potentil Regime Shift
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Author : Markku Lanne
language : en
Publisher:
Release Date : 1999
Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potentil 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 1999 with Interest rates categories.
Tiivistelmä: Korkojen aikarakenteen testaaminen mahdollisten regiimimuutosten tapauksessa.
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.
The Expectations Hypothesis Of The Term Structure And Time Varying Risk Premia
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Author : Richard D. F. Harris
language : en
Publisher:
Release Date : 1998
The Expectations Hypothesis Of The Term Structure And Time Varying Risk Premia written by Richard D. F. Harris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Interest rate risk categories.
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.
Testing The Expectations Hypothesis When Interest Rates Are Near Integrated
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Author : Meredith J. Beechey
language : en
Publisher:
Release Date : 2008
Testing The Expectations Hypothesis When Interest Rates Are Near Integrated written by Meredith J. Beechey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Data mining categories.
"Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia"--Federal Reserve Board web site.
Term Structure Of Interest Rates With Regime Shifts
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Author : Ravi Bansal
language : en
Publisher:
Release Date : 2001
Term Structure Of Interest Rates With Regime Shifts written by Ravi Bansal 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 rate risk 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
The Expectations Theory Of The Term Structure Of Interest Rates And Monetary Policy
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Author : María Isabel Martínez Serna
language : en
Publisher:
Release Date : 2000
The Expectations Theory Of The Term Structure Of Interest Rates And Monetary Policy written by María Isabel Martínez Serna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
The disparate evidence obtained by the empirical literature of the expectations theory of the term structure of interest rates has been interpreted in different ways. One explanation stems from the findings of Mankiw and Miron (1986) who observed that the term spread in the U.S. had substantial predictive power in line with the expectations theory before the founding of the Federal Reserve in 1914. Afterwards, the Fed's commitment to stabilising interest rates caused changes in short rates to become unpredictable on the basis of the spread. Consequently, these authors argue that monetary policy regime, and the extent to which it involves smoothing interest rates, determines the performance of the expectations theory.The argument of Mankiw and Miron has been extended and formalised by McCallum (1994), who develops a model of the interaction between the expectations theory, a time-varying autoregressive term premium, and an interest rate smoothing monetary policy combined with the use of the spread as an indicator. Kugler (1994) and Boero and Torricelli (1998) derive an exact solution to the McCallum model. Nevertheless, both of them limit their theoretical contribution to the case of one-period short rate. These two articles, together with Hsu and Kugler (1997), constitute the empirical applications of the model. All three conclude that the model is able to explain the results from standard tests of the expectations theory. The present research is intended to complete the existing theoretical and empirical literature about the McCallum model. Thus, we derive a generalisation of the exact solution of the model for any pair of maturities and, on the basis of the derived solution, we test the McCallum model for a wider range of maturities (all the above cited studies only use 1-month and 3-month interest rates) and for the Spanish term structure, to which the model has not yet been applied.
International Bibliography Of Economics 2003
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Author : Compiled by the British Library of Political and Economic Science
language : en
Publisher: Psychology Press
Release Date : 2004-12
International Bibliography Of Economics 2003 written by Compiled by the British Library of Political and Economic Science and has been published by Psychology Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-12 with Business & Economics categories.
First published in 1952, the International Bibliography of the Social Sciences (anthropology, economics, political science, and sociology) is well established as a major bibliographic reference for students, researchers and librarians in the social sciences worldwide. Key features * Authority: Rigorous standards are applied to make the IBSS the most authoritative selective bibliography ever produced. Articles and books are selected on merit by some of the world's most expert librarians and academics. * Breadth: today the IBSS covers over 2000 journals - more than any other comparable resource. The latest monograph publications are also included. * International Coverage: the IBSS reviews scholarship published in over 30 languages, including publications from Eastern Europe and the developing world. * User friendly organization: all non-English titles are word sections. Extensive author, subject and place name indexes are provided in both English and French.