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Rational Expectations The Expectations Hypothesis And Treasury Bill Yields
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Book Synopsis Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields by : David S. Jones
Download or read book Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields written by David S. Jones and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown that four of the five tests considered are asymptotically equivalent, and that the fifth is less restrictive than the other four. Second, the joint hypothesis is tested using weekly data for Treasury bills maturing in exactly 13 and 26 weeks beginning in 1970 and ending in 1979. In contrast, previous studies using comparable data have typically discarded 12/13 of the sample to form a nonoverlapping data set. Finally, a more complete set of possible determinants of time-varying term premiums is tested.
Book Synopsis Expectations, Uncertainty, and the Term Structure of Interest Rates by : J. C. Dodds
Download or read book Expectations, Uncertainty, and the Term Structure of Interest Rates written by J. C. Dodds and published by . This book was released on 1974 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rational Expectations, the Pure Expectations Hypothesis, and the Term Structure of Interest Rates by : Said Nazem Haidar
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:
Download or read book Expectations written by K. Holden and published by . This book was released on 1985 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple Account of the Behavior of Long-term Interest Rates by : John Y. Campbell
Download or read book A Simple Account of the Behavior of Long-term Interest Rates written by John Y. Campbell and published by . This book was released on 1983 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate "overreacts" to the short rate. This paper presents aunified taxonomy of risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated. It is shown that, if anything, the long rate has underreacted to the short rate. However, the independent movement of the long rate is primarily responsible for the failure of the expectations theory.
Book Synopsis Rational Expectations by : Graham Keith Shaw
Download or read book Rational Expectations written by Graham Keith Shaw and published by . This book was released on 1984 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expectations and the Economy written by and published by . This book was released on 1981 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements by : V. Vance Roley
Download or read book Monetary Policy Regimes, Expected Inflation, and the Response of Interest Rates to Money Announcements written by V. Vance Roley and published by . This book was released on 1983 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the response of the term structure of interest rates to weekly money announcements. Estimated responses for both the pre- and post-October 1979 periods are first presented. Then, two competing hypotheses involving the policy anticipations and expected inflation effects are formally specified and compared to the estimated responses. Both hypotheses are found to be consistent with the responses, but they have sharply different implications about the Federal Reserve's short-run monetary policy. The expected inflation hypothesis implies that weekly money surprises should have persistent effects on the level of the money stock, reflecting shifts in the Federal Reserve's long-run target. In contrast, the policy anticipations hypothesis implies that the effectof money surprises should diminish over time, reflecting the Federal Reserve's desire to offset deviations from target. Additional empirical results reported in the paper support this latter description of the money stock process.
Book Synopsis A Monetarist Model of Inflationary Expectations by : John Rutledge
Download or read book A Monetarist Model of Inflationary Expectations written by John Rutledge and published by . This book was released on 1974 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Rational Expectations Hypothesis of the Term Structure by : Olan Thomas John Henry
Download or read book The Rational Expectations Hypothesis of the Term Structure written by Olan Thomas John Henry and published by . This book was released on 1995 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : David Meiselman
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Changing Behavior of the Term Structure of Interest Rates by : N. Gregory Mankiw
Download or read book The Changing Behavior of the Term Structure of Interest Rates written by N. Gregory Mankiw and published by . This book was released on 1985 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.
Book Synopsis Is U.S. Government Bond Market Efficient? by : Zhaoxi Huang
Download or read book Is U.S. Government Bond Market Efficient? written by Zhaoxi Huang and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : Frank J. Bonello
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:
Book Synopsis Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure by : Glenn D. Rudebusch
Download or read book Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure written by Glenn D. Rudebusch and published by . This book was released on 1995 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rational Expectations, Inflation and the Nominal Interest Rate by : Jean A. Crockett
Download or read book Rational Expectations, Inflation and the Nominal Interest Rate written by Jean A. Crockett and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a substantial empirical literature, beginning with Fama [1975], that utilizes regressions of the inflation rate in a given period on initial rates (or inflation differentials on the slope of the initial yield curve) to test the Fisher hypothesis and/or to provide forecasts of inflation. Both uses depend critically on the maintained hypothesis that asset market prices fully incorporate all relevant current information about future yields. This paper will investigate the plausibility of the rational expectations hypothesis for real returns in markets for one- period default-free bonds, will show that under normal macroeconomic assumptions it cannot be expected to hold, and will consider the consequences of its failure for the interpretation of empirical results.
Book Synopsis Rational Expectations in Macroeconomics by : C. L. F. Attfield
Download or read book Rational Expectations in Macroeconomics written by C. L. F. Attfield and published by . This book was released on 1985 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
