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A Joint Test of the Rational Expectations-Permanent Income Hypothesis under Seasonal Cointegration

✍ Scribed by Tai-Hsin Huang


Book ID
108521938
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
554 KB
Volume
41
Category
Article
ISSN
0004-900X

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✍ Elias Tzavalis; Michael Wickens πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 183 KB πŸ‘ 3 views

This paper explains the contradictory findings from long-run and short-run tests of the rational expectations hypothesis of the term structure. Recent research suggests that, while the long-run tests support the theory, the short-run tests do not. Our results which are based on US Treasury bills rat