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The Expectations Hypothesis, the Yield Curve, and Monetary Policy

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  • John H. Wood

Abstract

Introduction, 457. — I. Elasticity of expectations and empirical and policy implications of the expectations hypothesis, 459. — II. A simplified elastic expectations model, 462; the model, 462; an empirical estimate of responsiveness of expected rates to current short rates, 463. — III. Effects of a swapping operation on the yield curve, 469.

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  • John H. Wood, 1964. "The Expectations Hypothesis, the Yield Curve, and Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 78(3), pages 457-470.
    • Handle: RePEc:oup:qjecon:v:78:y:1964:i:3:p:457-470.
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    Cited by:

    1. Roberds, William & Whiteman, Charles H., 1999. "Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 555-580, December.
    2. Thomas Sargent, 1971. "Expectations at the Short End of the Yield Curve: An Application of Macaulay's Test," NBER Chapters, in: Essays on Interest Rates, Volume 2, pages 391-412, National Bureau of Economic Research, Inc.
    3. Alexander L. Wolman, 2006. "Bond price premiums," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 92(Fall), pages 317-336.
    4. Karahan, Cenk C. & Soykök, Emre, 2022. "Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors," International Review of Financial Analysis, Elsevier, vol. 84(C).
    5. Dušan Staniek, 2018. "The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments [Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(2), pages 61-79.

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