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The term structure and the expectations hypothesis: a threshold model
... The term structure and the expectations hypothesis: a threshold model Modena, Matteo University of Glasgow.. Online at https://mpra.ub.uni-muenchen.de/9611/ MPRA Paper No.[r] ... See full document
35
Testing the expectations theory of the term structure of interest rates in threshold models
... the term structure of ...the expectations theory of the term structure by imposing restrictions in vector autoregressive (VAR) models, following Campbell and Shiller (1987), or by ... See full document
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The Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017)
... the Expectations Hypothesis of the Term Structure (EHTS) in the ...longer term maturities; (b) monetary policy should rely on interest rates smoothing, in order to prevent potentially ... See full document
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Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)
... null hypothesis of absence of cointegration is strongly rejected for all interest rates maturities, while a significant structural break is detected at the end of ... See full document
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The expectations hypothesis of the term structure: the case of Ireland
... Using a number of short-term maturities on monthly Irish money market rates from 1982 to 1997, we perform a number of tests of the EH of the term structure of interest rates for Ireland. On balance ... See full document
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Does The Expectations Hypothesis Explain The Term Structure Of Treasury Bond Yields In Tunisia?
... the expectations hypothesis (EH) using monthly data for Treasury bond yields (TBYs) over the period 1994m5–2014m12 and ranging in maturity from one year to 10 ... See full document
16
The empirical failure of the expectations hypothesis of the term structure of bond yields
... the term structure at the long and short end (together with uncovered interest rate parity) and document large biases and wide finite sample distributions of these variance ratio ... See full document
21
Expectations and the behaviour of Spanish treasury bill rates
... Over the last few years, the availability of cointegration techniques has given rise to an important amount of research, which has contributed to a better understanding of the Term Structure of Interest ... See full document
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The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value
... The table reports the in-sample performance fees F and the risk-adjusted abnormal returns M for the DEH strategy against the EH strategy when the data generating process used for bias-correction assumes homoskedastic ... See full document
38
Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases
... Rational expectations are a natural complement to the hypothesis of efficient markets and zero:arbitrage conditions in financial ...rational expectations hypothesis, ...perfect:foresight ... See full document
26
Short and long run tests of the expectations hypothesis: the Portuguese case
... The most natural representation of the term structure of interest rates is with spot rates. But as zero coupon bonds are typically issued for maturities less than a year (short end of the maturity ... See full document
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The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value
... The table reports the in-sample performance fees F and the risk-adjusted abnormal returns M for the DEH strategy against the EH strategy when the data generating process used for bias-correction assumes homoskedastic ... See full document
38
Validity of Expectation Hypothesis: Information Content of Term Structure
... the Expectations Hypothesis (EH) in an emerging market context and the utility of the information content of the term structure to predict the interest rate ...the model used by Bulkley ... See full document
13
Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model
... market expectations from the interest rate related instruments, for example: Söderlind and Svensson (1997); Brooke et ...market expectations of the short rates for the next 6 months to 1 year is most ... See full document
35
Econometric tests of the expectations theory of the term structure in New Zealand
... This chapter develops the approach that will be used to test the validity of the expectations theory using models that incorporate measures of a time-varying term premium. Th[r] ... See full document
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The expectation hypothesis of the term structure of very short term rates : statistical tests and economic value
... the model with respect to whether the longer-term rate is under- or over-valued relative to the series of shorter repo rates over the maturity of the longer ...the term structure of interest ... See full document
39
The term structure of cross sectional dispersion of expectations in a Learning to Forecast Experiment
... individual expectations (see Manski ...about expectations, measured as the cross-sectional dispersion of forecasts, and its evolution over time have become in itself a variable of ...how expectations ... See full document
49
Tests of the expectations hypothesis and policy reaction to the term spread: some comparative evidence
... We now return to the results in Table 2 and consider how they can be affected by small sample biases. In the study mentioned before by BHM, the small sample bias which affects all regression-based tests of the EH is ... See full document
28
Budgeting procedures and fiscal performance in the European Communities. Economic Papers 96, October 1992. II/453/92/-EN/rev
... -37- The Long-term Constraint Hypothesis and the Structural Hypothesis Our model predicts that the structure of interests among spending ministers and members of parliament, patterns of [r] ... See full document
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The landscape model: A model for exploring trade-offs between agricultural production and the environment
... the model could be expanded to include weeds, pests and diseases and as- pects of ...Our model framework is spatially explicit and simulates in- teractions between cells, in particular it describes the ... See full document
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