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Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift

✍ Scribed by Markku Lanne


Book ID
108550358
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
166 KB
Volume
71
Category
Article
ISSN
1463-6786

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✍ John Driffill; Zacharias Psaradakis; Martin Sola πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 129 KB πŸ‘ 1 views

This paper demonstrates, by means of Monte Carlo experimentation, that tests of the expectations hypothesis of the term structure based on instrumental variables regressions of the change in the short rate on the relevant lagged yield spread are prone to severe over-rejection when the term premium i