Publications
Detailed Information
A Test of the Rational Expectations Model of the Term Structure of Interest Rates
Cited 0 time in
Web of Science
Cited 0 time in Scopus
- Authors
- Issue Date
- 1990-04
- Citation
- Seoul Journal of Economics, Vol.3 No.2, pp. 179-204
- Abstract
- Most tests of the rational expectations hypothesis have been
rejected. The purpose of this paper is to characterize the
aspects of the rational expectations model of the term structure
which contribute to the rejection, rather than to merely provide
testing statistics. One of the important characterizations I
found is that the long term rate reacts rationally with respect
to the unexpected movement of the short term rate irrespective
of whether this movement is temporary or permanent over all of
the studied subperiods, including 1890-1913. Secondly, the innovation
to the variable term premium is orthogonal to the unexpected
movement of the short term rate. Lastly, the rational
expectations model does not hold over the long run movements,
but does over the short run movements.
- ISSN
- 1225-0279
- Language
- English
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.