Testing the expectations hypothesis using long-maturity forward rates (Q1853649)
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scientific article; zbMATH DE number 1857155
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| English | Testing the expectations hypothesis using long-maturity forward rates |
scientific article; zbMATH DE number 1857155 |
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Testing the expectations hypothesis using long-maturity forward rates (English)
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22 January 2003
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This paper reports on long-maturity interest rates. The results hardly vary across maturities. Using `forward-rate' regressions, the Expectations Hypothesis (EH) is numerically close to being accepted. For a long (short) data set, the EH is statistically rejected (accepted).
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Expectations hypothesis
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Forward rates
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Forward-rate regressions
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Long maturity
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Term structure of interest rates
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0.773399829864502
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0.7632233500480652
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0.7605082392692566
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0.7412725687026978
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0.7377769947052002
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