Tests And Applications Of The Rational Expectations Hypothesis Of The Term Structure Of Interest Rates
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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.
Testing The Rational Expectations Hypothesis Of The Term Structure For Unstable Emerging Market Interest Rates With Interbank Data From Greece And The Czech Republic
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Author : Eugenie Garganas
language : en
Publisher:
Release Date : 2002
Testing The Rational Expectations Hypothesis Of The Term Structure For Unstable Emerging Market Interest Rates With Interbank Data From Greece And The Czech Republic written by Eugenie Garganas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with 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.
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.
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.
Testing The Rational Expectations Hypothesis In A Small Cap Market
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Author : Marcus Wai
language : en
Publisher:
Release Date : 1996
Testing The Rational Expectations Hypothesis In A Small Cap Market written by Marcus Wai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Forecasting categories.
Rational Expectations The Pure Expectations Hypothesis And The Term Structure Of Interest Rates
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Author : Said Nazem Haidar
language : en
Publisher:
Release Date : 1982
Rational Expectations The Pure Expectations Hypothesis And The Term Structure Of Interest Rates written by Said Nazem Haidar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Bonds 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