Modelling the Yield Curve
This paper utilizes previously unpublished, weekly U.K. interest-rate data from the Bank of England to estimate and test a variety of alternative models of the term structure of interest rates. The rational expectations model is tested and rejected (using an extension of the Campbell-Shiller technique to the overlapping data case) as is a simple risk premium (GARCH) model. The data do, however, support a simple market segmentation model. Copyright 1992 by Royal Economic Society.
Volume (Year): 102 (1992)
Issue (Month): 412 (May)
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