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Cointegration analysis of the expectations theory of the term structure

  • Nourzad, Farrokh
  • Scott Grennier, R.
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3YXBJ47-J/2/0b0108ad6289dec85d97ff6138d1f6ef
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 47 (1995)
    Issue (Month): 3 (August)
    Pages: 281-292

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    Handle: RePEc:eee:jebusi:v:47:y:1995:i:3:p:281-292
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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    1. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
    2. Dwyer, Gerald P, Jr, et al, 1993. "Tests of Rational Expectations in a Stark Setting," Economic Journal, Royal Economic Society, vol. 103(418), pages 586-601, May.
    3. McCulloch, J Huston, 1975. "An Estimate of the Liquidity Premium," Journal of Political Economy, University of Chicago Press, vol. 83(1), pages 95-119, February.
    4. Friedman, Benjamin M, 1979. "Interest Rate Expectations versus Forward Rates: Evidence from an Expectations Survey," Journal of Finance, American Finance Association, vol. 34(4), pages 965-73, September.
    5. Dua, Pami, 1991. "Survey evidence on the term structure of interest rates," Journal of Economics and Business, Elsevier, vol. 43(2), pages 133-142, May.
    6. Steven Russell, 1992. "Understanding the term structure of interest rates: the expectations theory," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 36-50.
    7. Mishkin, F.S., 1988. "The Information In The Term Structure: Some Further Results," Papers fb-_88-26, Columbia - Graduate School of Business.
    8. Shiller, Robert & Campbell, John, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Scholarly Articles 3221490, Harvard University Department of Economics.
    9. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    10. Kenneth A. Froot, 1987. "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," NBER Working Papers 2363, National Bureau of Economic Research, Inc.
    11. Seungmook Choi & Mark E. Wohar, 1991. "New Evidence Concerning The Expectations Theory For The Short End Of The Maturity Spectrum," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(1), pages 83-92, 03.
    12. McNown, Robert & Wallace, Myles S., 1992. "Cointegration tests of a long-run relation between money demand and the effective exchange rate," Journal of International Money and Finance, Elsevier, vol. 11(1), pages 107-114, February.
    13. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, March.
    14. Kane, Edward J, 1983. "Nested Tests of Alternative Term-Structure Theories," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 115-23, February.
    15. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
    16. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
    17. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    18. Hafer, R W & Hein, Scott E & MacDonald, S Scott, 1992. "Market and Survey Forecasts of the Three-Month Treasury-Bill Rate," The Journal of Business, University of Chicago Press, vol. 65(1), pages 123-38, January.
    19. James Van Horne, 1965. "Interest-Rate Risk and the Term Structure of Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 73, pages 344.
    20. Mankiw, N Gregory & Miron, Jeffrey A, 1986. "The Changing Behavior of the Term Structure of Interest Rates," The Quarterly Journal of Economics, MIT Press, vol. 101(2), pages 211-28, May.
    21. Murphy, Robert G., 1986. "The expectations theory of the term structure: Evidence from inflation forecasts," Journal of Macroeconomics, Elsevier, vol. 8(4), pages 423-434.
    22. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
    23. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    24. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
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