Explaining anomalous inferences regarding the expectations theory

William E. Shambora

Global Business and Economics Review, 2006, vol. 8, issue 3/4, 206-216

Abstract: This paper examines inferences from two traditional tests of Expectations Hypothesis of the Term Structure (EHTS) under various models of the data generating process of the short-term interest rate. It is found that inference from these tests can be different under different models and that some of the tests most likely to support EHTS are those that are the least powerful.

Keywords: Expectations Hypothesis of the Term Structure; EHTS; interest rates; expectations theory; asset price modelling; tests. (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:8:y:2006:i:3/4:p:206-216

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