Author: Kenneth A. Froot
Publisher:
ISBN:
Category :
Languages : es
Pages : 28
Book Description
New hope for the expectations hypothesis of the term structure of interest rates
New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
Author: Kenneth Froot
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
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.
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
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.
New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
The Expectations Hypothesis and the Term Structure of Interest Rates
Author: Michael R. Sefchick
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 152
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 152
Book Description
The Term Structure of Interest Rates
Author: Frank J. Bonello
Publisher:
ISBN:
Category : Interest and usury
Languages : en
Pages : 300
Book Description
Publisher:
ISBN:
Category : Interest and usury
Languages : en
Pages : 300
Book Description
Rational Expectations, the Pure Expectations Hypothesis, and the Term Structure of Interest Rates
Author: Said Nazem Haidar
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 104
Book Description
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 104
Book Description
A Critical Evaluation of the Expectations Hypothesis of the Term Structure of Interest Rates
Author: Kenneth Jay Wallace
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 126
Book Description
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 126
Book Description
Tests and Applications of the Rational Expectations Hypothesis of the Term Structure of Interest Rates
Testing the Expectations Hypothesis Og the Term Structure of Interest Rates in the Presence of a Potential Regime Shift
The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates
Author: Chiente Hsu
Publisher:
ISBN:
Category : Money and interest rates = Geld und Zinssätze
Languages : en
Pages : 15
Book Description
Publisher:
ISBN:
Category : Money and interest rates = Geld und Zinssätze
Languages : en
Pages : 15
Book Description