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A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data

Author

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  • Harris, Richard

Abstract

Empirical tests of the expectations hypothesis of the term structure hage almost without exception been tests of the time-series properties of interest rates. However, the expectations hypothesis has implications not just for the yield movement of a single pair of bond maturities over a number of periods but also for the relationship between yield movements of a number of bond maturities over a single period. This paper tests these implications of the expectations hypothesis using cross-section bond yield data. A long series of monthly cross-section regressions is estimated using zero coupon bond yields for maturities from two months to thirty-five years.

Suggested Citation

  • Harris, Richard, 1998. "A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data," Discussion Papers 9812, University of Exeter, Department of Economics.
    • Handle: RePEc:exe:wpaper:9812
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    Citations

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    Cited by:

    1. Christiansen, Charlotte, 2003. "Testing the expectations hypothesis using long-maturity forward rates," Economics Letters, Elsevier, vol. 78(2), pages 175-180, February.
    2. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    3. Luisa Malaguti & Costanza Torricelli, 2001. "The rational expectation dynamics of a model for the term structure and monetary policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 137-152, November.
    4. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.

    More about this item

    Keywords

    ECONOMETRIC MODELS ; ECONOMETRICS ; MODELS ; INTEREST RATE ; TESTS;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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