Testing the expectations hypothesis using long-maturity forward rates
type: Item
instance of: scholarly article
title: Testing the expectations hypothesis using long-maturity forward rates
zbMATH Open document ID: 1032.91061
DOI: 10.1016/S0165-1765(02)00218-5
author: Charlotte Christiansen
published in: Economics Letters
publication date: 2003-01-22T00:00:00Z
review text: This paper reports on long-maturity interest rates. The results hardly vary across maturities. Using `forward-rate' regressions, the Expectations Hypothesis (EH) is numerically close to being accepted. For a long (short) data set, the EH is statistically rejected (accepted).
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 1857155
zbMATH Keywords: Expectations hypothesis
zbMATH Keywords: Forward rates
zbMATH Keywords: Forward-rate regressions
zbMATH Keywords: Long maturity
zbMATH Keywords: Term structure of interest rates
MaRDI profile type: Publication
cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
description: scientific article; zbMATH DE number 1857155