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The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates

โœ Scribed by Eric Jondeau; Roland Ricart


Book ID
117427943
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
421 KB
Volume
18
Category
Article
ISSN
0261-5606

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Testing the expectations hypothesis of t
โœ John Driffill; Zacharias Psaradakis; Martin Sola ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 129 KB ๐Ÿ‘ 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