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A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data

Richard Harris

Discussion Papers from University of Exeter, Department of Economics

Abstract: Empirical tests of the expectations hypothesis of the term structure hage almost without exception been tests of the time-series properties of interest rates. However, the expectations hypothesis has implications not just for the yield movement of a single pair of bond maturities over a number of periods but also for the relationship between yield movements of a number of bond maturities over a single period. This paper tests these implications of the expectations hypothesis using cross-section bond yield data. A long series of monthly cross-section regressions is estimated using zero coupon bond yields for maturities from two months to thirty-five years.

Keywords: ECONOMETRIC MODELS; ECONOMETRICS; MODELS; INTEREST RATE; TESTS (search for similar items in EconPapers)
JEL-codes: C21 G14 (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:9812

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