Tests Of The Rational Expectations Theory Of The Term Structure Of Interest Rates
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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.
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.
The Expectations Hypothesis For The Longer End Of The Term Structure
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Author : Ronald Henry Lange
language : en
Publisher:
Release Date : 1998
The Expectations Hypothesis For The Longer End Of The Term Structure written by Ronald Henry Lange 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 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.
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.
The Information Content Of The Term Structure Of Interest Rates
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Author : Frank Browne
language : en
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
Release Date : 1989
The Information Content Of The Term Structure Of Interest Rates written by Frank Browne and has been published by [Paris, France] : OECD, Department of Economics and Statistics this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Inflation (Finance) 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 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.
The Rational Expectations Theory Of The Term Structure Of Interest Rates Once Again
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Author : H. S. Peter Stockman
language : en
Publisher:
Release Date : 1990*
The Rational Expectations Theory Of The Term Structure Of Interest Rates Once Again written by H. S. Peter Stockman 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.