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Testing the expectations hypothesis using long-maturity forward rates

  • Christiansen, Charlotte

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 78 (2003)
Issue (Month): 2 (February)
Pages: 175-180

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Handle: RePEc:eee:ecolet:v:78:y:2003:i:2:p:175-180
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  1. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
  2. Geert Bekaert & Robert J. Hodrick & David Marshall, 1996. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Working Paper Series, Issues in Financial Regulation WP-96-3, Federal Reserve Bank of Chicago.
  3. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(2), pages 283-305, June.
  4. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso Problem" Explanations for Term Structure Anomalies," NBER Working Papers 6147, National Bureau of Economic Research, Inc.
  5. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, . "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University.
  6. Harris, Richard, 1998. "A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data," Discussion Papers 9812, Exeter University, Department of Economics.
  7. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
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