Testing The Rational Expectations Model Of The Term Structure Of Interest Rates
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Testing The Rational Expectations Model Of The Term Structure Of Interest Rates
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Author : Richard T. Baillie
language : en
Publisher:
Release Date : 1982
Testing The Rational Expectations Model Of The Term Structure Of Interest Rates written by Richard T. Baillie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Interest categories.
Test Of The Rational Expectations Model Of The Term Structure Of Interest Rates
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Author : Yong Jin Kim
language : en
Publisher:
Release Date : 1987
Test Of The Rational Expectations Model Of The Term Structure Of Interest Rates written by Yong Jin Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Interest rates categories.
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.
Overconfidence And The Rational Expectations Model Of The Term Structure Of Interest Rates
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Author : George Bulkley
language : en
Publisher:
Release Date : 2013
Overconfidence And The Rational Expectations Model 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 2013 with categories.
We propose a behavioral explanation for the widely reported rejection of the rational expectations model of the term structure of interest rates. We distinguish between public and private information and show that overconfidence among investors about the precision of private information can account for the empirical failure of the rational expectations model. Using a simulation experiment calibrated with data on US interest rates, we demonstrate that only a small degree of investor overconfidence is needed to replicate the principle features of the rejections of the rational expectations model that have been documented in different tests in the empirical literature.
Tests Of The Rational Expectations Theory Of The Term Structure Of Interest Rates
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Author : Showwu Li
language : en
Publisher:
Release Date : 1988
Tests Of The Rational Expectations Theory Of The Term Structure Of Interest Rates written by Showwu Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 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.
An Introduction To The Theory And The Econometric Tests 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
An Introduction To The Theory And The Econometric Tests 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.
The Expectations Hypothesis For The Longer End Of The Term Structure
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Author : Ron Lange
language : en
Publisher:
Release Date : 2000
The Expectations Hypothesis For The Longer End Of The Term Structure written by Ron Lange 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.
This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post tests of the rational expectations hypothesis. The empirical results in this paper show that the expectations theory has considerable economic and statistical content for explaining movements in Canadian long-term yields. The cointegration results from a vector error-correction model find a long-run relationship between short- and long-term interest rates; the term spread is an unbiased predictor of changes in short-term rates over the long run. The multi-period forecast of changes in future short-term rates from a Campbell-Shiller vector autoregression model can account for most of the variance of long-term yields; the actual long-term yield moves almost one for one with its theoretical counterpart under the expectations hypothesis. The tests of the rational expectations hypothesis on bond yields from 1 to 5 years' maturity find that the term structure beyond 2 years resembles a rational forecast of the weighted average of changes in future short rates.
Modelling The Yield Curve
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-12-01
Modelling The Yield Curve written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-12-01 with Business & Economics categories.
We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium.
The Term Structure Of Interest Rates
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Author : David Meiselman
language : en
Publisher:
Release Date : 1962
The Term Structure Of Interest Rates written by David Meiselman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1962 with Business & Economics categories.