On the Expectations View of the Term Structure, Term Premia and Survey-Based Expectations
AbstractIn this paper, U.K. disaggregate survey data of expected future interest rates are used to test the expectations model of the term structure of interest rates at the short end of the maturity spectrum. In the aggregate, the expectations model is rejected, and both time-varying term premia and expected interest rate changes are demonstrated to be important in explaining the slope of the yield curve. Within the aggregate data however, the authors demonstrate that there are some differences with respect to the views of the term structure held. For example, the pure expectations model cannot be rejected for some individuals. Copyright 1994 by Royal Economic Society.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Economic Journal.
Volume (Year): 104 (1994)
Issue (Month): 426 (September)
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- Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers 4959, C.E.P.R. Discussion Papers.
- Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1084-1092.
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