Testing the expectations hypothesis using long-maturity forward rates

DOI10.1016/S0165-1765(02)00218-5MaRDI QIDQ1853649zbMATH OpenFDO

Authors Charlotte Christiansen

Publication date 22 January 2003

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(02)00218-5

zbMATH Keywords

Expectations hypothesisForward ratesForward-rate regressionsLong maturityTerm structure of interest rates

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Review text

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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Cites work

• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Cited in

(6)

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• Term structure of interest rates and the expectation hypothesis: The Euro area
• TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
• scientific article; zbMATH DE number 6858228 (Why is no real title available?)
• Expectations hypotheses tests at Long Horizons
• Long run forward rates and long yields of bonds and options in heterogeneous equilibria

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