Time-varying term premia and the expectations hypothesis in Australia
AbstractThis article investigates whether the (rational) expectations hypothesis holds for Australian yield data (it does not), whether the hypothesis holds after adjusting for term premia estimated from an affine term structure model (it appears to) and whether the yield process implied by the term structure model can match the failure of the hypothesis on unadjusted yields (it can). These results suggest that the term structure model used in Finlay and Chambers (2009) does a reasonable job in capturing the risk-neutral and real-world dynamics of Australian interest rates, at least as measured through the prism of the expectations hypothesis.
Download InfoIf 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.
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 InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 18 (2011)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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: (Michael McNulty).
If references are entirely missing, you can add them using this form.