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

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  • Tzavalis, Elias

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  • Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
    • Handle: RePEc:eee:ecmode:v:21:y:2004:i:1:p:73-93
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    2. 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.
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    4. 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 217-224, July.
    5. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
    6. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-592, May.
    7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    8. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
    9. 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(3), pages 357-365, September.
    10. 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.
    11. 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 357-386.
    12. 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.
    13. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    14. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 495-514.
    15. 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 321-325, October.
    16. 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 364-380, August.
    17. Bennett T. McCallum, 2005. "Monetary policy and the term structure of interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 91(Fall), pages 1-21.
    18. Matthew Richardson & Paul Richardson & Tom Smith, "undated". "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.
    19. Matthew Richardson & Paul Richardson & Tom Smith, "undated". "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.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. 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.
    25. 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 229-239, July.
    26. Bliss, Robert R & Ritchken, Peter, 1996. "Empirical Tests of Two State-Variable Heath-Jarrow-Morton Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 452-476, August.
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    1. Silva Lopes, Artur C. & Monteiro, Olga Susana, 2007. "The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal," MPRA Paper 6310, University Library of Munich, Germany, revised 14 Dec 2007.
    2. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    3. Olga Susana M. Monteiro & Artur C. B. da Silva Lopes, 2010. "Short- and Long-Run Tests of the Expectations Hypothesis: The Portuguese Case," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 56(3), pages 257-280.
    4. Marc Tomljanovich, 2007. "Does Central Bank Transparency Impact Financial Markets? A Cross‐Country Econometric Analysis," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 791-813, January.
    5. Kakali Kanjilal, 2014. "Rational expectation hypothesis: empirical evidence from government debt market in India," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 9(3), pages 353-370.
    6. Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
    7. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.

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