Author: George Hiroshi SaitoPublisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 72
Book Description
Confirmation of the Expectations Theory of the Term Structure of Interest Rates with US Treasury Bill Futures
Author: George Hiroshi SaitoPublisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 72
Book Description
The Pure Expectations Theory of the Term Structure of Interest Rates
Author: Christopher G. DunmallPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
THE U.S. TREASURY BILL FUTURES MARKET AND HYPOTHESES REGARDING THE TERM STRUCTURE OF INTEREST RATES
Author: BRIAN G. CHOW AND DAVID J. BROPHYPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
Expectations, Uncertainty, and the Term Structure of Interest Rates
Author: J. C. DoddsPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 336
Book Description
The Changing Behavior of the Term Structure of Interest Rates
Author: N. Gregory MankiwPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 48
Book Description
We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.
The Information Content of the Term Structure of Interest Rates
Author: Frank BrownePublisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
Book Description
Term Structure of Interest Rates
Author: Burton Gordon MalkielPublisher: Princeton University Press
ISBN: 1400879787
Category : Business & Economics
Languages : en
Pages : 294
Book Description
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
New Hope for the Expectations Hypoithesis of the Term Structure of Interest Rates
Author: New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
Author: Kenneth A. FrootPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium
The Expectations Theory of Term Structure
Author: Johura BegumPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Yield curve is very prominent in the economics and finance literature to analyze the behavior of households and investors towards bonds markets. In this paper we explore and test the Expectations Hypothesis (EH) of the term structure for a number of international bond markets. We use data at the short and long end maturities for the Treasury bill rate and the Government of Canada bond rate. The sample includes monthly yields for maturities ranging from 1, 3, 5-month treasury bills and 1, 5, 10 and more years for Government of Canada bonds, USA bonds, UK bonds and France bonds. We use the Engle-Granger cointegration test and OLS to estimate the spread between short and long term interest rates, including tests for serial correlation in residuals, and to test the validity of the EH. The EH is rejected in all cases.