The Expectations Hypothesis Of The Term Structure Of Bond Yields
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New Evidence On The Expectations Hypothesis Of The Term Structure Of Bond Yields
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Author :
language : en
Publisher:
Release Date : 2003
New Evidence On The Expectations Hypothesis Of The Term Structure Of Bond Yields written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Bonds categories.
"This paper tests the expectations hypothesis (EH) with the data used in Campbell and Shiller's (1991) seminal work on the EH using a Lagrange multiplier test developed recently by Bekaert and Hodrick (2001). This test is applied under the assumption that interest rates are integrated of order one, I(1), as in Campbell and Shiller (1987), and under the assumption that interest rates are stationary. We also extend the literature beyond the bivariate comparisons of long-term and short-term rates which dominates the EH testing literature. In addition, we examine the linkage between the term structure and macrcoeconomic variables. Consistent with the findings of Campbell and Shiller (1991), the EH is rejected at the short end of the maturity spectrum but not at the longer end. The EH is rejected at the longer end of the term structure when more than two rates or the relationship between the term structure and the macroeconomy are considered. Moreover, we find that evaluating the EH using the ratio of the variance of the forecasted long-term rate (or rate spread) under the EH to the observed variance generates misleading information about the merit of the EH"--Federal Reserve Bank of St. Louis web site.
The Expectations Hypothesis Of The Term Structure Of Bond Yields
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Author : Robert Dittmar
language : en
Publisher:
Release Date : 2008
The Expectations Hypothesis Of The Term Structure Of Bond Yields written by Robert Dittmar 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.
This paper tests the expectations hypothesis (EH) with the data used in Campbell and Shiller's (1991) seminal work on the EH using a Lagrange multiplier test developed recently by Bekaert and Hodrick (2001). This test is applied under the assumption that interest rates are integrated of order one, I(1), as in Campbell and Shiller (1987), and under the assumption that interest rates are stationary. We also extend the literature beyond the bivariate comparisons of long-term and short-term rates which dominates the EH testing literature. Consistent with the findings of Campbell and Shiller (1991), the EH is rejected at the short end of the maturity spectrum but not at the longer end. However, the EH is rejected at the longer end of the term structure when more than two rates are considered. We also find that the frequently used practice of calculating the ratio of the variance of the forecasted long-term rate (or rate spread) under the EH to the observed variance is not useful for assessing the validity of the EH.
The Empirical Failure Of The Expectations Hypothesis Of The Term Structure Of Bond Yields
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Author : Lucio Sarno
language : en
Publisher:
Release Date : 2005
The Empirical Failure Of The Expectations Hypothesis Of The Term Structure Of Bond Yields written by Lucio Sarno and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Bonds categories.
A Test Of The Expectations Hypothesis Of The Term Structure Using Cross Section Data
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Author : Richard D. F. Harris
language : en
Publisher:
Release Date : 1998
A Test Of The Expectations Hypothesis Of The Term Structure Using Cross Section Data 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 rates categories.
Long Term Bond Yields Monetary Policy And The Expectations Hypothesis Of The Term Structure Of Interest Rates
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Author : Peter Kugler
language : en
Publisher:
Release Date : 1996
Long Term Bond Yields Monetary Policy And The Expectations Hypothesis Of The Term Structure Of Interest Rates written by Peter Kugler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Market structure and pricing = Marktstrukturen und Preisbildung 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.
Long Term Bond Yields Monetary Policy And The Expectations Hypothesis Of Term Structure Of Interest Rates
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Author : Peter Kugler
language : de
Publisher:
Release Date : 1996
Long Term Bond Yields Monetary Policy And The Expectations Hypothesis Of Term Structure Of Interest Rates written by Peter Kugler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 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 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.
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.