Predictions Of Short Term Rates And The Expectations Hypothesis Of The Term Structure Of Interest Rates PDF Download
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Author | : Daniel L. Thornton |
Publisher | : |
Total Pages | : 28 |
Release | : 2004 |
Genre | : Interest rates |
ISBN | : |
Download Predictions of Short-term Rates and the Expectations Hypothesis of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 28 |
Release | : 1987 |
Genre | : |
ISBN | : |
Download New Hope for the Expectations Hypoithesis of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
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 | : 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 | : 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 | : 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 | : Tong-hŏn Kim |
Publisher | : |
Total Pages | : 166 |
Release | : 2000 |
Genre | : Business forecasting |
ISBN | : |
Download Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle Book in PDF, ePub and Kindle
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 | : Massimo Guidolin |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Predictions of Short-term Rates and the Expectations Hypothesis Book in PDF, ePub and Kindle
Author | : Alan David Kraus |
Publisher | : |
Total Pages | : 430 |
Release | : 1969 |
Genre | : Interest |
ISBN | : |
Download The Forecasting Accuracy of Models of the Term Structure of Interest Rates Book in PDF, ePub and Kindle