On biases in tests of the expectations hypothesis of the term structure of interest rates

Journal of Financial Economics

Volumn 44, Issue 3, 1997, Pages 309-348

  Bekaert, Geert ^a,b   Hodrick, Robert J ^b,c   Marshall, David A ^d  

^a STANFORD UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c Och Spine at New York Presbyterian Hospitals   (United States)

^d FEDERAL RESERVE BANK OF CHICAGO   (United States)

Author keywords

Conditional heteroskedasticity; Expectations hypothesis; Interest rates; Small sample bias; Vector autoregression

Indexed keywords

EID: 0031161627     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(97)00007-X     Document Type: Article

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