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The Expectations Hypothesis and the Efficiency of the Treasury Bill Market

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  • Hamburger, Michael J
  • Platt, Elliott N
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    Bibliographic Info

    Article provided by MIT Press in its journal Review of Economics & Statistics.

    Volume (Year): 57 (1975)
    Issue (Month): 2 (May)
    Pages: 190-99

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    Handle: RePEc:tpr:restat:v:57:y:1975:i:2:p:190-99

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    Web page: http://mitpress.mit.edu/journals/

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    Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535

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    Cited by:
    1. Bams, Dennis & Wolff, Christian C, 2000. "Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach," CEPR Discussion Papers 2392, C.E.P.R. Discussion Papers.
    2. Bilson, John F.O. & Cernauskas, Deborah, 2007. "Currency and credit markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1187-1205, November.
    3. Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc.
    4. Pelaez, Rolando F., 1997. "Riding the yield curve: Term premiums and excess returns," Review of Financial Economics, Elsevier, vol. 6(1), pages 113-119.
    5. Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43.
    6. Benjamin M. Friedman, 1980. "Interest Rate Expectations Versus Forward Rates: Evidence From An Expectations Survey," NBER Working Papers 0295, National Bureau of Economic Research, Inc.
    7. Kroon, E.P., 1991. "Bond market efficiency : some Dutch evidence," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    8. Krishna Ramaswamy & Choong-Tze Chua & Winston T.H. Koh, 2004. "Profiting from Mean-Reverting Yield Curve Trading Strategies," Econometric Society 2004 Australasian Meetings 142, Econometric Society.
    9. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
    10. Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1084-1092.
    11. Goss, Barry A., 1980. "Aspects Of Hedging Theory," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 24(03), December.
    12. Rodney L. Jacobs & Robert A. Jones, 1978. "The Treasury Bill Futures Market," UCLA Economics Working Papers 116, UCLA Department of Economics.
    13. 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.
    14. David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.
    15. 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.
    16. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.

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