The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: a Panel Data Approach
The expectations hypothesis of the term structure of interest rates implies that the spread between short and long bond yields should forecast next period's change in the long yield. Regression based tests have systematically rejected the expectations hypothesis, with estimated coefficients far from their hypothesized values. One explanation of this rejection is that regression tests fail to account for time varying risk premia that are correlated with the spread, causing a downward bias in the estimated regression parameters. This paper uses panel data in order to test the expectations hypothesis in the presence of time varying risk premia.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1998|
|Date of revision:|
|Contact details of provider:|| Postal: Streatham Court, Rennes Drive, Exeter EX4 4PU|
Phone: (01392) 263218
Fax: (01392) 263242
Web page: http://business-school.exeter.ac.uk/about/departments/economics/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:exe:wpaper:9811. 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: (Carlos Cortinhas)
If references are entirely missing, you can add them using this form.