A Further Examination Of The Expectations Hypothesis For The Term Structure PDF Download
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Author | : Erdenebat Bataa |
Publisher | : |
Total Pages | : 70 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download A Further Examination of the Expectations Hypothesis for the Term Structure Book in PDF, ePub and Kindle
Author | : Richard D. F. Harris |
Publisher | : |
Total Pages | : 0 |
Release | : 1998 |
Genre | : Interest rates |
ISBN | : |
Download A Test of the Expectations Hypothesis of the Term Structure Using Cross-section Data Book in PDF, ePub and Kindle
Author | : David Meiselman |
Publisher | : |
Total Pages | : 96 |
Release | : 1962 |
Genre | : Business & Economics |
ISBN | : |
Download The Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Elias Tzavalis |
Publisher | : |
Total Pages | : 40 |
Release | : |
Genre | : |
ISBN | : |
Download The Rational Expectations Hypothesis of the Term Structure Book in PDF, ePub and Kindle
The main aim of this paper is to test the rational expectations hypothesis of the term structure (REHTS). Existing empirical studies of the REHTS provide inconsistent evidence. Tests based on the local expectations hypothesis (LEH) version of the REHTS tend to be far less supportive than those based on the return to maturity expectations hypothesis (RTMEH), especially when they concern the short-run implications of the hypothesis. This paper explains the differences between these alternative versions of the REHTS and estimates a number of models to try to explain the inconsistencies in previous results. Our conclusions are that the most probable cause of these differences is the failure to take account of the presence of a time-varying term premium. Once this is accounted for, both short-run and long-run evidence is found to support the REHTS. Estimates of variance bounds of the term premium suggest that it may not vary sufficiently to be the sole explanation for the differences.
Author | : R. S. Masera |
Publisher | : |
Total Pages | : 232 |
Release | : 1972 |
Genre | : Business & Economics |
ISBN | : |
Download The Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Reuben A. Kessel |
Publisher | : |
Total Pages | : 132 |
Release | : 1965 |
Genre | : Business & Economics |
ISBN | : |
Download The Cyclical Behavior of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2000 |
Genre | : Interest rates |
ISBN | : |
Download Test of the Expectations Hypothesis Book in PDF, ePub and Kindle
"The expectations hypothesis (EH) of the term structure plays an important role in the analysis of monetary policy, where shorter-term rates are assumed to be determined by the market's expectation for the overnight federal funds rate. With two exceptions, tests using the effective federal funds rate as the short-term rate easily reject the EH. These exceptions are when the EH is tested over the nonborrowed reserve targeting period and when the test is performed only using data for settlement Wednesdays--the last day of bank's reserve maintenance period. This paper argues that these exceptions are anomalous: In the former case, the failure to reject the EH occurs when economic analysis suggests that the market should be less able to forecast the federal funds rate. In the latter case, it occurs when there are sharp spikes in the funds rate that cannot improve materially the market's ability to forecast the funds rate. Additional analysis shows that these anomalous results are a consequence of the procedure used to test the EH"--Federal Reserve Bank of St. Louis web site.
Author | : Moorad Choudhry |
Publisher | : John Wiley & Sons |
Total Pages | : 299 |
Release | : 2011-12-05 |
Genre | : Business & Economics |
ISBN | : 111817710X |
Download Analysing and Interpreting the Yield Curve Book in PDF, ePub and Kindle
The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not. This groundbreaking new book offers: An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve An opportunity for market professionals to have an understanding of the latest analytical techniques. Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.
Author | : Frank J. Fabozzi |
Publisher | : John Wiley & Sons |
Total Pages | : 864 |
Release | : 2007-03-15 |
Genre | : Business & Economics |
ISBN | : 0470107847 |
Download Fixed Income Analysis Book in PDF, ePub and Kindle
In the Second Edition of Fixed Income Analysis, financial expert Frank Fabozzi and a team of knowledgeable contributors provide complete coverage of the most important issues in fixed income analysis. Now, in Fixed Income Analysis Workbook, Second Edition, Fabozzi offers you a wealth of practical information and exercises that will solidify your understanding of the tools and techniques associated with this discipline. This comprehensive study guide--which parallels the main book chapter by chapter--contains challenging problems and a complete set of solutions as well as concise learning outcome statements and summary overviews. If you want to make the most of your time in the fixed income marketplace, the lessons within this workbook can show you how. Topics reviewed include: The risks associated with investing in fixed income securities The fundamentals of valuation and interest rate risk The features of structured products--such as mortgage-backed securities and asset-backed securities The principles of credit analysis The valuation of fixed income securities with embedded options
Author | : Alex Rowland Henry Weaver |
Publisher | : |
Total Pages | : 614 |
Release | : 1969 |
Genre | : |
ISBN | : |
Download A Study of Term Structure Theories Book in PDF, ePub and Kindle