Advanced Search
MyIDEAS: Login to save this article or follow this journal

Testing the expectations hypothesis using long-maturity forward rates

Contents:

Author Info

  • Christiansen, Charlotte

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V84-47733D3-1/2/2e500f55928aa944a050e8ce93f00d51
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 78 (2003)
Issue (Month): 2 (February)
Pages: 175-180

as in new window
Handle: RePEc:eee:ecolet:v:78:y:2003:i:2:p:175-180

Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso problem" explanations for term structure anomalies," Working Paper Series, Issues in Financial Regulation WP-97-07, Federal Reserve Bank of Chicago.
  2. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 44(2), pages 283-305, June.
  3. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1996. "On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates," NBER Technical Working Papers 0191, National Bureau of Economic Research, Inc.
  4. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
  5. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, . "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University.
  6. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 13(4), pages 509-528, December.
  7. repec:fth:exetec:98/12 is not listed on IDEAS
  8. Harris, Richard, 1998. "A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data," Discussion Papers, Exeter University, Department of Economics 9812, Exeter University, Department of Economics.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2009. "The expectation hypothesis of interest rates and network theory: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 388(7), pages 1137-1149.
  2. Hugo Benitez-Silva & Debra S. Dwyer & Wayne-Roy Gayle & Tom Muench, 2005. "Expectations in Micro Data: Rationality Revisited," Department of Economics Working Papers, Stony Brook University, Department of Economics 05-04, Stony Brook University, Department of Economics.
  3. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(4), pages 605-622, June.
  4. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics, EconWPA 0503001, EconWPA.
  5. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 09-02, Luxembourg School of Finance, University of Luxembourg.
  6. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4959, C.E.P.R. Discussion Papers.
  7. Hugo Benítez-Silva & Debra S. Dwyer, 2003. "What to Expect when you are Expecting Rationality: Testing Rational Expectations using Micro Data," Working Papers, University of Michigan, Michigan Retirement Research Center wp037, University of Michigan, Michigan Retirement Research Center.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:78:y:2003:i:2:p:175-180. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.