IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

The expectations hypothesis of the term structure: Evidence for Germany

Listed author(s):
  • G. Boero


  • C. Torricelli

In this paper we examine the expectations hypothesis of the term structure (EHT) using a newly constructed monthly database of zero coupon bond yields from the German Government bond market. We use data at the short end of the maturity spectrum (maturities less than two years) and employ two approaches to predict future movements in shorter-term interest rates - one based on the yield spread, the other based on the forward-spot rate spread. We find that for the period considered, 1985 - 2-1994 - 12, both spreads contain substantial information for predicting future interest rate movements. Moreover, the results are, in general, consistent with the implications of the EHT, as far as the value of the coefficient of the spread is concerned. This means that in Germany the spread can be used as an important indicator for the conduct of monetary policy.

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:
Download Restriction: no

File URL:
Download Restriction: no

Paper provided by Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia in its series Working Paper CRENoS with number 199704.

in new window

Date of creation: 1997
Handle: RePEc:cns:cnscwp:199704
Contact details of provider: Postal:
Via S. Giorgio 12, I-09124 Cagliari

Phone: +70/6756406
Fax: +70/6756402
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

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:cns:cnscwp:199704. 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: (Antonello Pau)

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.