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Time series evidence on the expectations hypothesis of the term structure: A comment on Flavin

โœ Scribed by Scott F. Richard

Book ID
116105218
Publisher
Elsevier Science
Year
1984
Weight
147 KB
Volume
20
Category
Article
ISSN
0167-2231

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โœ Elias Tzavalis; Michael Wickens ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 183 KB ๐Ÿ‘ 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