The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value
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- Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, vol. 89(1), pages 158-174, July.
- Sarno, Lucio & Thornton, Daniel L & Della Corte, Pasquale, 2007. "The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value," CEPR Discussion Papers 6445, C.E.P.R. Discussion Papers.
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More about this item
Keywords
Interest rates;JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2007-01-02 (Financial Markets)
- NEP-MON-2007-01-02 (Monetary Economics)
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