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Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (321 download)
Download or read book On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates written by Geert Bekaert and published by . This book was released on 1996 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David A. Marshall
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates written by David A. Marshall and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document extreme bias and dispersion in the small sample distributions of five standard regression tests of the expectations hypothesis of the term structure of interest rates. These biases derive from the extreme persistence in short interest rates. We derive approximate analytic expressions for these biases, and we characterize the small-sample distributions of these test statistics under a simple first-order autoregressive data generating process for the short rate. The biases are also present when the short rate is modeled with a more realistic regime-switching process. The differences between the small-sample distributions of test statistics and the asymptotic distributions partially reconcile the different inferences drawn when alternative tests are used to evaluate the expectations hypothesis. In general, the test statistics reject the expectations hypothesis more strongly and uniformly when they are evaluated using the small-sample distributions, as compared to the asymptotic distributions
Author : Elias Tzavalis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (536 download)
Download or read book Tests and Applications of the Rational Expectations Hypothesis of the Term Structure of Interest Rates written by Elias Tzavalis and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Bonello
Publisher :
ISBN 13 :
Total Pages : 300 pages
Book Rating : 4.3/5 (129 download)
Download or read book The Term Structure of Interest Rates written by Frank J. Bonello and published by . This book was released on 1968 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (937 download)
Download or read book New Hope for the Expectations Hypoithesis of the Term Structure of Interest Rates written by and published by . This book was released on 1987 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael R. Sefchick
Publisher :
ISBN 13 :
Total Pages : 152 pages
Book Rating : 4.:/5 (937 download)
Download or read book The Expectations Hypothesis and the Term Structure of Interest Rates written by Michael R. Sefchick and published by . This book was released on 1983 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. Luanne
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Testing the Expectations Hypothesis Og the Term Structure of Interest Rates in the Presence of a Potential Regime Shift written by M. Luanne and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth A. Froot
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates written by Kenneth A. Froot and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Author : Markku Lanne
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift written by Markku Lanne and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983:1-1996:6. Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential - but unrealized - regime shifts provide support for the expectations hypothesis. The peso problem is modelled by means of a threshold autoregression. The estimation results suggest that potential regime shift had an effect on expectations concerning the longer-term interest rate only for a short while in the early phase of the sample period, when interest rates were at their highest.
Author : Meredith J. Beechey
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.3/5 (121 download)
Download or read book Testing the Expectations Hypothesis when Interest Rates are Near Integrated written by Meredith J. Beechey and published by . This book was released on 2008 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia"--Federal Reserve Board web site.
Author : Donal Bredin
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (248 download)
Download or read book Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates written by Donal Bredin and published by . This book was released on 2001 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markku Lanne
Publisher :
ISBN 13 : 9789514576867
Total Pages : 21 pages
Book Rating : 4.5/5 (768 download)
Download or read book Near Unit Roots and Regression Based Tests of the Expectations Hypothesis of the Term Structure of Interest Rates written by Markku Lanne and published by . This book was released on 1997 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Said Nazem Haidar
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (12 download)
Download or read book Rational Expectations, the Pure Expectations Hypothesis, and the Term Structure of Interest Rates written by Said Nazem Haidar and published by . This book was released on 1982 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth Jay Wallace
Publisher :
ISBN 13 :
Total Pages : 126 pages
Book Rating : 4.:/5 (31 download)
Download or read book A Critical Evaluation of the Expectations Hypothesis of the Term Structure of Interest Rates written by Kenneth Jay Wallace and published by . This book was released on 1965 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gianna Boero
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (933 download)
Download or read book The Expectations Hypothesis of the Term Structure of Interest Rates written by Gianna Boero and published by . This book was released on 1997 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (258 download)
Download or read book On Biases in Test of the Expecations Hypothesis of the Term Structure of Interest Rates written by Geert Bekaert and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates written by and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
