The Expectations Hypothesis And The Term Structure Of Interest Rates
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New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Kenneth Froot
language : en
Publisher:
Release Date : 2008
New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Kenneth Froot 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.
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.
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.
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.
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.
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.
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.
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.
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.