A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates

Jean-Michel Sahut

No 2014-352, Working Papers from Department of Research, Ipag Business School

Abstract: Conventional approaches to examining the expectation hypothesis of interest rates assume a parametric linear specification among variables. In contrast, this paper tests the hypothesis using a flexible nonlinear inference approach proposed by Hamilton (20

Keywords: Term structure of interest rates; Non linearity; expectation hypothesis; flexible models (search for similar items in EconPapers)
JEL-codes: C22 E43 G10 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-mac
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Journal Article: A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates (2010)
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