Testing the expectations hypothesis of t
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John Driffill; Zacharias Psaradakis; Martin Sola
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Article
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1998
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John Wiley and Sons
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English
โ 129 KB
๐ 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