IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

The term premium and the puzzles of the expectations hypothesis of the term structure

  • Tzavalis, Elias

No abstract is available for this item.

If 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.

File URL: http://www.sciencedirect.com/science/article/B6VB1-49V9MSH-1/2/795236cfc81b74ade0bda20e026513bd
Download Restriction: Full text for ScienceDirect subscribers only

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.

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 21 (2004)
Issue (Month): 1 (January)
Pages: 73-93

as
in new window

Handle: RePEc:eee:ecmode:v:21:y:2004:i:1:p:73-93
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Campbell, John, 1995. "Some Lessons from the Yield Curve," Scholarly Articles 3163264, Harvard University Department of Economics.
  2. Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 229-39, July.
  3. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  4. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-82, April.
  5. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.
  6. Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers 215, Australian National University - Department of Economics.
  7. N. Gregory Mankiw & Lawrence H. Summers, 1984. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(1), pages 223-248.
  8. Kugler, Peter, 1997. "Central Bank Policy Reaction and the Expectations Hypothesis of the Term Structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(3), pages 217-24, July.
  9. Huizinga, John & Mishkin, Frederic S., 1986. "Monetary policy regime shifts and the unusual behavior of real interest rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 24(1), pages 231-274, January.
  10. Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, vol. 55(1), pages 115-120, August.
  11. McCulloch, J. Huston, 1987. "The monotonicity of the term premium : A closer look," Journal of Financial Economics, Elsevier, vol. 18(1), pages 185-192, March.
  12. Driffill, John & Psaradakis, Zacharias & Sola, Martin, 1998. "Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(4), pages 321-25, October.
  13. Driffill, John & Psaradakis, Zacharias & Sola, Martin, 1997. "A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(1), pages 29-42, February.
  14. Bennett T. McCallum, 1994. "Monetary Policy and the Term Structure of Interest Rates," NBER Working Papers 4938, National Bureau of Economic Research, Inc.
  15. Shiller, Robert & Campbell, John, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Scholarly Articles 3221490, Harvard University Department of Economics.
  16. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
  17. Richardson, Matthew & Richardson, Paul & Smith, Tom, 1992. "The monotonicity of the term premium *1: Another look," Journal of Financial Economics, Elsevier, vol. 31(1), pages 97-105.
  18. Matthew Richardson & Paul Richardson & Tom Smith, . "The Monotonicity of the Term Premium: Another Look (Reprint 026)," Rodney L. White Center for Financial Research Working Papers 03-92, Wharton School Rodney L. White Center for Financial Research.
  19. Simon, David P., 1989. "Expectations and Risk in the Treasury Bill Market: An Instrumental Variables Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 357-365, September.
  20. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-92, May.
  21. Robert R. Bliss & Peter Richken, 1996. "Empirical tests of two state-variable Heath-Jarrow models," Proceedings, Federal Reserve Bank of Cleveland, issue Aug, pages 452-481.
  22. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-86.
  23. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
  24. Matthew Richardson & Paul Richardson & Tom Smith, . "The Monotonicity of the Term Premium: Another Look (Reprint 026)," Rodney L. White Center for Financial Research Working Papers 3-92, Wharton School Rodney L. White Center for Financial Research.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:21:y:2004:i:1:p:73-93. See general 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: (Zhang, Lei)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.