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Cointegration analysis of the expectations theory of the term structure

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  • Nourzad, Farrokh
  • Scott Grennier, R.
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3YXBJ47-J/2/0b0108ad6289dec85d97ff6138d1f6ef
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 47 (1995)
    Issue (Month): 3 (August)
    Pages: 281-292

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    Handle: RePEc:eee:jebusi:v:47:y:1995:i:3:p:281-292

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

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    References

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    1. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
    2. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    3. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
    4. Edward J. Kane, 1981. "Nested Tests of Alternative Term-Structure Theories," NBER Working Papers 0639, National Bureau of Economic Research, Inc.
    5. Frederic S. Mishkin, 1989. "The Information in the Term Structure: Some Further Results," NBER Working Papers 2575, National Bureau of Economic Research, Inc.
    6. McCulloch, J Huston, 1975. "An Estimate of the Liquidity Premium," Journal of Political Economy, University of Chicago Press, vol. 83(1), pages 95-119, February.
    7. Kenneth A. Froot, 1990. "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," NBER Working Papers 2363, National Bureau of Economic Research, Inc.
    8. Choi, Seungmook & Wohar, Mark E, 1991. "New Evidence Concerning the Expectations Theory for the Short End of the Maturity Spectrum," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 14(1), pages 83-92, Spring.
    9. Friedman, Benjamin M, 1979. "Interest Rate Expectations versus Forward Rates: Evidence from an Expectations Survey," Journal of Finance, American Finance Association, vol. 34(4), pages 965-73, September.
    10. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    11. Gerald P. Dwyer, Jr. & Arlington W. Williams & Raymond Battalio & Timothy Mason, 1989. "Tests of rational expectations in a stark setting," Working Papers 1989-001, Federal Reserve Bank of St. Louis.
    12. Mankiw, N Gregory & Miron, Jeffrey A, 1986. "The Changing Behavior of the Term Structure of Interest Rates," The Quarterly Journal of Economics, MIT Press, vol. 101(2), pages 211-28, May.
    13. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
    14. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    15. Dua, Pami, 1991. "Survey evidence on the term structure of interest rates," Journal of Economics and Business, Elsevier, vol. 43(2), pages 133-142, May.
    16. Murphy, Robert G., 1986. "The expectations theory of the term structure: Evidence from inflation forecasts," Journal of Macroeconomics, Elsevier, vol. 8(4), pages 423-434.
    17. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
    18. McNown, Robert & Wallace, Myles S., 1992. "Cointegration tests of a long-run relation between money demand and the effective exchange rate," Journal of International Money and Finance, Elsevier, vol. 11(1), pages 107-114, February.
    19. Hafer, R W & Hein, Scott E & MacDonald, S Scott, 1992. "Market and Survey Forecasts of the Three-Month Treasury-Bill Rate," The Journal of Business, University of Chicago Press, vol. 65(1), pages 123-38, January.
    20. Steven Russell, 1992. "Understanding the term structure of interest rates: the expectations theory," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 36-50.
    21. James Van Horne, 1965. "Interest-Rate Risk and the Term Structure of Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 73, pages 344.
    22. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    23. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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    Cited by:
    1. Chiang, Thomas C. & Kim, Doseong, 2000. "Short-term eurocurrency rate behavior and specifications of cointegrating processes," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 157-179.

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