Political risk and the expectations hypothesis

Barbara Caporale and Tony Caporale ()

Economics Letters, 2008, vol. 100, issue 2, 178-180

Abstract: This paper develops and empirically supports, using 3 and 6Â month interest rates, a theory that political risk can explain the shifting term premia found in U.S. data. We find that incorporating these political regime shifts yield results that support the expectations hypothesis.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:2:p:178-180

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