New Hope For The Expectations Hypothesis Of The Term Structure Of Interest Rates PDF Download
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Author | : Kenneth A. Froot |
Publisher | : |
Total Pages | : |
Release | : 1990 |
Genre | : |
ISBN | : |
Download New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
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 | : Kenneth Froot |
Publisher | : |
Total Pages | : 46 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
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 | : |
Publisher | : |
Total Pages | : |
Release | : 1987 |
Genre | : |
ISBN | : |
Download New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Michael R. Sefchick |
Publisher | : |
Total Pages | : 152 |
Release | : 1983 |
Genre | : Interest rates |
ISBN | : |
Download The Expectations Hypothesis and the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Frank J. Bonello |
Publisher | : |
Total Pages | : 300 |
Release | : 1968 |
Genre | : Interest and usury |
ISBN | : |
Download The Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Said Nazem Haidar |
Publisher | : |
Total Pages | : 104 |
Release | : 1982 |
Genre | : Bonds |
ISBN | : |
Download Rational Expectations, the Pure Expectations Hypothesis, and the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Kenneth Jay Wallace |
Publisher | : |
Total Pages | : 126 |
Release | : 1965 |
Genre | : Interest |
ISBN | : |
Download A Critical Evaluation of the Expectations Hypothesis of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Elias Tzavalis |
Publisher | : |
Total Pages | : |
Release | : 1993 |
Genre | : |
ISBN | : |
Download Tests and Applications of the Rational Expectations Hypothesis of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : J. C. Dodds |
Publisher | : |
Total Pages | : 336 |
Release | : 1974 |
Genre | : Business & Economics |
ISBN | : |
Download Expectations, Uncertainty, and the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : M. Luanne |
Publisher | : |
Total Pages | : |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Testing the Expectations Hypothesis Og the Term Structure of Interest Rates in the Presence of a Potential Regime Shift Book in PDF, ePub and Kindle