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Time-varying term premia and the expectations hypothesis in Australia

โœ Scribed by Finlay, Richard; Jones, Callum


Book ID
126547270
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
302 KB
Volume
18
Category
Article
ISSN
1350-4851

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Time-varying term premium in T-bill futu
โœ Jae Ha Lee; Hoje Jo ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Springer US ๐ŸŒ English โš– 704 KB

This paper examines time-varying term premium in the T-bill futures rate to determine its significance for the expectations hypothesis (EH). Similar to previous studies on the T-bill forward rates, our data reject the joint hypothesis of the EH and the rational expectations hypothesis (RE). Under th