Economics at your fingertips  

Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates

Markku Lanne

The Review of Economics and Statistics, 1999, vol. 81, issue 3, 393-398

Abstract: The ability of yield spreads to predict changes in long-term interest rates implied by the expectations hypothesis is usually rejected. It is suggested that this rejection is often caused by high persistence in the spread when standard inference is employed. Instead, the asymptotically valid method of Cavanagh et al. (1995) is applied to monthly U.S. data from 1952:1-1991:2. The persistence of the spreads seems to have varied over time, and in subsample analysis, the expectations hypothesis cannot be rejected at the long end of the maturity spectrum. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22) Track citations by RSS feed

Downloads: (external link) (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by Ann Olson ().

Page updated 2022-08-09
Handle: RePEc:tpr:restat:v:81:y:1999:i:3:p:393-398