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Testing the expectations hypothesis of the term structure with permanent-transitory component models

โœ Scribed by Casalin, Fabrizio


Book ID
122918035
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
357 KB
Volume
37
Category
Article
ISSN
0378-4266

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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