The revival of the expectations hypothesis of the US term structure of interest rates

DOI10.1016/S0165-1765(97)00039-6MaRDI QIDQ1389754zbMATH OpenOpenAlexWikidataFDO

Authors Chiente Hsu, Peter Kugler

Publication date 30 June 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(97)00039-6

zbMATH Keywords

term structurepolicy responsepredictive power

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• The expectations hypothesis of the term structure of interest rates, open interest rate parity and central bank policy reaction

Cited in

(12)

• Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
• Expectations hypothesis and term structure of interest rates: an evidence from emerging market
• Analysis of drawdowns and drawups in the US$ interest-rate market
• Forward interest rates as predictors of future US spot rates before and after the 2008 financial crisis
• Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
• Uncovered interest parity and policy behavior: New evidence
• The term premium, time varying interest rate volatility and central bank policy reaction
• Evidence for state transition and altered serial codependence in US$ interest rates
• TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
• Time-varying long-range dependence in US interest rates
• The expectations hypothesis of the term structure of interest rates, open interest rate parity and central bank policy reaction
• Testing the expectations hypothesis using long-maturity forward rates

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