The revival of the expectations hypothesis of the US term structure of interest rates

Economics Letters

Volumn 55, Issue 1, 1997, Pages 115-120

  Hsu, Chiente ^a   Kugler, Peter ^a  

^a UNIVERSITY OF BERN   (Switzerland)

Author keywords

E43; Policy Response; Predictive Power; Term Structure

Indexed keywords

EID: 0031285245     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(97)00039-6     Document Type: Article

References (15)

1. Angell, W.D., 1987. Commodities and Monetary Policy. The Journal of Commerce.
2. Balduzzi, P., Bertola, G., Foresi S., 1993. A Model of Target Changes and the Term Structure of Interest Rates. NBER working paper, no. 4347.
3. Campbell J.Y. Some Lessons from the Yield Curve. Journal of Economic Perspectives. 9:1995;129-152.
4. Campbell J.Y., Shiller R.J. Yield Spreads and Interest Rate Movements: A Bird's Eye View. Review of Economic Studies. 58:1991;495-514.
5. Dotsey, M., Otrok, C., 1995. The Rational Expectations Hypothesis of the Term Structure, Monetary Policy, and Time-Varying Term Premia. Economic Quarterly of the Federal Reserve Bank of Richmond, VA, 65-81.
6. Evans M.D.D., Lewis K.K. Do Stationary Risk Premia Explain It All? Evidence from the Term Structure. Journal of Monetary Economics. 33:1994;285-318.
7. Froot K.A. New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates. Journal of Finance. 44:1989;283-305.
8. Johnson M.H. Current Perspectives on Monetary Policy. Cato Journal. 8:1988;253-260.
9. Kugler P. The Term Structure of Euro Interest Rates and Rational Expectations. Journal of International Money and Finance. 9:1990;234-344.
10. Kugler, P., 1996. Central Bank Policy Reaction and the Expectations Hypothesis of the Term Structure. International Journal of Finance and Economics, forthcoming.
11. Mankiw N.G., Miron J.A. The Changing Behavior of the Term Structure of Interest Rates. Quarterly Journal of Economics. 101:1986;211-228.
12. McCallum, B., 1994. Monetary Policy and the Term Structure of Interest Rates. NBER working paper, no. 4938.
13. Roberds W., Runkle D., Whiteman C.H. A Daily View of Yield Spreads and Short-Term Interest Rate Movements. Journal of Money Credit and Banking. 28:1996;35-53.
14. Rudebusch G.D. Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure. Journal of Monetary Economics. 35:1995;245-274.
15. Shiller, R.J., 1991. Market Volatility. MIT Press.