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The term premium and the puzzles of the expectations hypothesis of the term structure

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  • Tzavalis, Elias

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 21 (2004)
Issue (Month): 1 (January)
Pages: 73-93

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Handle: RePEc:eee:ecmode:v:21:y:2004:i:1:p:73-93

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Web page: http://www.elsevier.com/locate/inca/30411

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  1. Simon, David P., 1989. "Expectations and Risk in the Treasury Bill Market: An Instrumental Variables Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(03), pages 357-365, September.
  2. Huizinga, John & Mishkin, Frederic S., 1986. "Monetary policy regime shifts and the unusual behavior of real interest rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 24(1), pages 231-274, January.
  3. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 29(3), pages 364-80, August.
  4. Shiller, Robert & Campbell, John, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Scholarly Articles 3221490, Harvard University Department of Economics.
  5. Campbell, John, 1995. "Some Lessons from the Yield Curve," Scholarly Articles 3163264, Harvard University Department of Economics.
  6. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  7. Matthew Richardson & Paul Richardson & Tom Smith, . "The Monotonicity of the Term Premium: Another Look (Reprint 026)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 3-92, Wharton School Rodney L. White Center for Financial Research.
  8. Kugler, Peter, 1997. "Central Bank Policy Reaction and the Expectations Hypothesis of the Term Structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 2(3), pages 217-24, July.
  9. Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers, Australian National University - Department of Economics 215, Australian National University - Department of Economics.
  10. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 21(1), pages 41-70, May.
  11. McCulloch, J. Huston, 1987. "The monotonicity of the term premium : A closer look," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 185-192, March.
  12. Matthew Richardson & Paul Richardson & Tom Smith, . "The Monotonicity of the Term Premium: Another Look (Reprint 026)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 03-92, Wharton School Rodney L. White Center for Financial Research.
  13. N. Gregory Mankiw & Lawrence H. Summers, 1984. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(1), pages 223-248.
  14. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
  15. Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, Elsevier, vol. 55(1), pages 115-120, August.
  16. Driffill, John & Psaradakis, Zacharias & Sola, Martin, 1997. "A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(1), pages 29-42, February.
  17. Bennett T. McCallum, 1994. "Monetary Policy and the Term Structure of Interest Rates," NBER Working Papers 4938, National Bureau of Economic Research, Inc.
  18. Robert R. Bliss & Peter Richken, 1996. "Empirical tests of two state-variable Heath-Jarrow models," Proceedings, Federal Reserve Bank of Cleveland, issue Aug, pages 452-481.
  19. Richardson, Matthew & Richardson, Paul & Smith, Tom, 1992. "The monotonicity of the term premium *1: Another look," Journal of Financial Economics, Elsevier, Elsevier, vol. 31(1), pages 97-105.
  20. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 13(4), pages 509-528, December.
  21. Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 3(3), pages 229-39, July.
  22. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 106(436), pages 578-92, May.
  23. Driffill, John & Psaradakis, Zacharias & Sola, Martin, 1998. "Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 3(4), pages 321-25, October.
  24. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-86.
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Cited by:
  1. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany.
  2. Silva Lopes, Artur C. & M. Monteiro, Olga Susana, 2007. "The expectations hypothesis of the term structure: some empirical evidence for Portugal," MPRA Paper 3437, University Library of Munich, Germany.
  3. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics, EconWPA 0503001, EconWPA.

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