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Expectations and the term structure of interest rates

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  • Anonymous

    (Reserve Bank of New Zealand)

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    Abstract

    A discussion aimed at students of economics, of evidence on the determinants of interest rates and yield curve.

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    File URL: http://www.rbnz.govt.nz/research_and_publications/reserve_bank_bulletin/1993/1993dec56_4Economics.pdf
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    Bibliographic Info

    Article provided by Reserve Bank of New Zealand in its journal Reserve Bank of New Zealand Bulletin.

    Volume (Year): 56 (1993)
    Issue (Month): (December)
    Pages:

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    Handle: RePEc:nzb:nzbbul:december1993:4

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    References

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    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.:
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    1. Dua, Pami, 1991. "Survey evidence on the term structure of interest rates," Journal of Economics and Business, Elsevier, Elsevier, vol. 43(2), pages 133-142, May.
    2. N. Gregory Mankiw & Lawrence H. Summers, 1987. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," NBER Working Papers 1345, National Bureau of Economic Research, Inc.
    3. 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.
    4. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, American Economic Association, vol. 77(4), pages 680-92, September.
    5. Friedman, Benjamin M, 1979. "Interest Rate Expectations versus Forward Rates: Evidence from an Expectations Survey," Journal of Finance, American Finance Association, American Finance Association, vol. 34(4), pages 965-73, September.
    6. Taylor, Mark P, 1992. "Modelling the Yield Curve," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 102(412), pages 524-37, May.
    7. Angelo Melino, 1986. "The Term Structure of Interest Rates: Evidence and Theory," NBER Working Papers 1828, National Bureau of Economic Research, Inc.
    8. Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1, October.
    9. Kenneth A. Froot, 1987. "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," NBER Working Papers 2363, National Bureau of Economic Research, Inc.
    10. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    11. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 93/19, International Monetary Fund.
    12. De Bondt, Werner F. M. & Bange, Mary M., 1992. "Inflation Forecast Errors and Time Variation in Term Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 27(04), pages 479-496, December.
    13. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 667, Cowles Foundation for Research in Economics, Yale University.
    14. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, Elsevier, vol. 25(1), pages 59-76, January.
    15. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 347-66, July.
    16. Pesando, James E, 1975. "Determinants of Term Premiums in the Market for United States Treasury Bills," Journal of Finance, American Finance Association, American Finance Association, vol. 30(5), pages 1317-27, December.
    17. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, Elsevier, vol. 4(2), pages 103-124, April.
    18. N. Gregory Mankiw, 1986. "The Term Structure of Interest Rates Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 61-110.
    19. repec:fth:calaec:13-89 is not listed on IDEAS
    20. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
    21. MacDonald, Ronald & Speight, Alan E H, 1988. "The Term Structure of Interest Rates in the UK," Bulletin of Economic Research, Wiley Blackwell, vol. 40(4), pages 287-99, October.
    22. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, Elsevier, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
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    Cited by:
    1. Andrew Fung & Bryan Chapple, 1994. "The yield curve as an indicator of monetary conditions," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 57, March.

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