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The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates

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  • Hsu, Chiente
  • Kugler, Peter
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3SX1M0B-K/2/a9e5c46689488c643e997b359b9fee98
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 55 (1997)
    Issue (Month): 1 (August)
    Pages: 115-120

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    Handle: RePEc:eee:ecolet:v:55:y:1997:i:1:p:115-120

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    Web page: http://www.elsevier.com/locate/ecolet

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    References

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    1. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(2), pages 283-305, June.
    2. N. Gregory Mankiw & Jeffrey A. Miron, 1985. "The Changing Behavior of the Term Structure of Interest Rates," NBER Working Papers 1669, National Bureau of Economic Research, Inc.
    3. Kugler, Peter, 1990. "The term structure of Euro interest rates and rational expectations," Journal of International Money and Finance, Elsevier, vol. 9(2), pages 234-244, June.
    4. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
    5. Evans, Martin D. D. & Lewis, Karen K., 1994. "Do stationary risk premia explain it all?: Evidence from the term structure," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 285-318, April.
    6. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," NBER Working Papers 5031, National Bureau of Economic Research, Inc.
    7. Manuel H. Johnson, 1988. "Current Perspectives on Monetary Policy," Cato Journal, Cato Journal, Cato Institute, vol. 8(2), pages 253-260, Fall.
    8. Glenn D. Rudebusch, 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Working Papers in Applied Economic Theory 95-02, Federal Reserve Bank of San Francisco.
    9. Roberds, William & Runkle, David & Whiteman, Charles H, 1996. "A Daily View of Yield Spreads and Short-Term Interest Rate Movements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 34-53, February.
    10. John Y. Campbell & Robert J. Shiller, 1989. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," NBER Working Papers 3153, National Bureau of Economic Research, Inc.
    11. Bennett T. McCallum, 2005. "Monetary policy and the term structure of interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 1-21.
    12. Michael Dotsey & Christopher Otrok, 1995. "The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 65-81.
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    Cited by:
    1. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    2. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper 19815, University Library of Munich, Germany.
    3. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox," Working Papers 2003-022, Federal Reserve Bank of St. Louis.
    4. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the anomalies when the short-term rate is the federal funds rate," Working Papers 2000-003, Federal Reserve Bank of St. Louis.
    5. Drakos, Konstantinos, 2001. "Monetary policy and the yield curve in an emerging market: the Greek case," Emerging Markets Review, Elsevier, vol. 2(3), pages 244-262, September.
    6. Nagayasu, Jun, 2002. "On the term structure of interest rates and inflation in Japan," Journal of Economics and Business, Elsevier, vol. 54(5), pages 505-523.
    7. Mohamed Z. M. Aazim & Nawalage S. Cooray, 2010. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," Working Papers EMS_2010_11, Research Institute, International University of Japan.
    8. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, EconWPA.
    9. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    10. Anker, Peter, 1999. "Uncovered interest parity, monetary policy and time-varying risk premia," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 835-851, December.
    11. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
    12. Gordon H. Sellon, Jr., 2008. "Monetary policy transparency and private sector forecasts: evidence from survey data," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 7-34.
    13. Petra Gerlach-Kristen, 2007. "Three aspects of the Swiss term structure: an empirical survey," Financial Markets and Portfolio Management, Springer, vol. 21(2), pages 221-240, June.
    14. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
    15. Boero, G. & Torricelli, C., 1998. "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS) 512, University of Warwick, Department of Economics.
    16. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.

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