The Expectations Theory Of Term Structure
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The Expectations Theory Of Term Structure
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Author : Johura Begum
language : en
Publisher:
Release Date : 2020
The Expectations Theory Of Term Structure written by Johura Begum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
The Yield curve is very prominent in the economics and finance literature to analyze the behavior of households and investors towards bonds markets. In this paper we explore and test the Expectations Hypothesis (EH) of the term structure for a number of international bond markets. We use data at the short and long end maturities for the Treasury bill rate and the Government of Canada bond rate. The sample includes monthly yields for maturities ranging from 1, 3, 5-month treasury bills and 1, 5, 10 and more years for Government of Canada bonds, USA bonds, UK bonds and France bonds. We use the Engle-Granger cointegration test and OLS to estimate the spread between short and long term interest rates, including tests for serial correlation in residuals, and to test the validity of the EH. The EH is rejected in all cases.
Three Essays On The Expectations Theory For Term Structure Of Interest Rates
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Author : Erdenebat Bataa
language : en
Publisher:
Release Date : 2006
Three Essays On The Expectations Theory For Term Structure Of Interest Rates written by Erdenebat Bataa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Analysis Of The Term Structure Of Interest Rates The Expectations Theory
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Author : Jing Chen
language : en
Publisher:
Release Date : 2004
Analysis Of The Term Structure Of Interest Rates The Expectations Theory written by Jing Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
The Expectations Theory Of The Term Structure
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Author : Robert Mandeno
language : en
Publisher:
Release Date : 1993
The Expectations Theory Of The Term Structure written by Robert Mandeno and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Interest rates categories.
A research exercise forming a part of the requirements of the degree of M.Com. at the University of Canterbury.
The Expectations Theory Of The Term Structure Of Interest Rates And Monetary Policy
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Author : María Isabel Martínez Serna
language : en
Publisher:
Release Date : 2000
The Expectations Theory Of The Term Structure Of Interest Rates And Monetary Policy written by María Isabel Martínez Serna 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.
The disparate evidence obtained by the empirical literature of the expectations theory of the term structure of interest rates has been interpreted in different ways. One explanation stems from the findings of Mankiw and Miron (1986) who observed that the term spread in the U.S. had substantial predictive power in line with the expectations theory before the founding of the Federal Reserve in 1914. Afterwards, the Fed's commitment to stabilising interest rates caused changes in short rates to become unpredictable on the basis of the spread. Consequently, these authors argue that monetary policy regime, and the extent to which it involves smoothing interest rates, determines the performance of the expectations theory.The argument of Mankiw and Miron has been extended and formalised by McCallum (1994), who develops a model of the interaction between the expectations theory, a time-varying autoregressive term premium, and an interest rate smoothing monetary policy combined with the use of the spread as an indicator. Kugler (1994) and Boero and Torricelli (1998) derive an exact solution to the McCallum model. Nevertheless, both of them limit their theoretical contribution to the case of one-period short rate. These two articles, together with Hsu and Kugler (1997), constitute the empirical applications of the model. All three conclude that the model is able to explain the results from standard tests of the expectations theory. The present research is intended to complete the existing theoretical and empirical literature about the McCallum model. Thus, we derive a generalisation of the exact solution of the model for any pair of maturities and, on the basis of the derived solution, we test the McCallum model for a wider range of maturities (all the above cited studies only use 1-month and 3-month interest rates) and for the Spanish term structure, to which the model has not yet been applied.
The Expectations Theory Of The Term Structure
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Author : R. J. Mandeno
language : en
Publisher:
Release Date : 1993
The Expectations Theory Of The Term Structure written by R. J. Mandeno and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Interest rates 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.
The Expectations Theory Of The Term Structure And Short Term Interest Rates In Australia
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Author : Warren J. Tease (Economiste.)
language : en
Publisher:
Release Date : 1986
The Expectations Theory Of The Term Structure And Short Term Interest Rates In Australia written by Warren J. Tease (Economiste.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.
Evidence Uncovered
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Author : Jennifer E. Roush
language : en
Publisher:
Release Date : 2003
Evidence Uncovered written by Jennifer E. Roush and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
A large body of literature has failed to find conclusive evidence that the expectations theory of the term structure holds in U.S. data. This paper asks more narrowly whether the theory holds conditional on an exogenous change in monetary policy. We argue that previous work on the expectation theory has failed to sufficiently account for interactions between monetary policy and bond markets in the determination of long and short interest rates. Using methods that directly account for this interaction, we find strong evidence supporting a term structure channel for policy that is consistent with the expectations theory. We show that the marginal effect of our consideration for this source of simultaneity bias is significant in uncovering evidence for the theory. We also discuss previous claims that policy regime changes and short-term interest rate smoothing by the Fed accounts for the theory's unconditional failure in light of our findings.
New Evidence On The Expectations Theory For Uk Term Structure
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Author : Erdenebat Bataa
language : en
Publisher:
Release Date : 2006
New Evidence On The Expectations Theory For Uk Term Structure written by Erdenebat Bataa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.