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.
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Paper provided by University of Exeter, School of Business and Economics in its series Discussion Papers with number
98/12.
Length: Date of creation: 1998 Date of revision: Handle: RePEc:fth:exetec:98/12
Contact details of provider: Postal: School of Business and Economics University of Exeter Streatham Court Rennes Drive Exeter EX4 4PU Phone: (01392) 263218 Fax: (01392) 263242 Web page: http://www.exeter.ac.uk/sobe/ More information through EDIRC
Find related papers by 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
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