Small sample properties of the regression test of the expectations model of the term structure1

Economics Letters

Volumn 57, Issue 2, 1997, Pages 129-134

  Schotman, Peter C ^a  

^a MAASTRICHT UNIVERSITY   (Netherlands)

Author keywords

C12; C13; Expectations hypothesis; Small sample bias; Term structure of interest rates

Indexed keywords

EID: 0031555183     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(97)00208-5     Document Type: Article

References (7)

1. Bekaert, G., Hodrick, R.J., Marshall D.A., 1996. On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates, Journal of Financial Economics, Forthcoming.
2. Campbell J.Y., Shiller R.J. A Simple Account of the Behavior of Long Term Interest Rates. American Economic Review. 74:1984;44-54.
3. Campbell J.Y., Shiller R.J. Yield Spreads and Interest Rate Movements: A Bird's Eye View. Review of Economics and Statistics. 58:1991;495-514.
4. Mankiw N.G. The Term Structure of Interest Rates revisited. Brookings Papers on Economic Activity. I:1986;61-109.
5. Schotman, P.C., 1989. Empirical Studies on the Behavior of Interest Rates and Exchange Rates. Dissertation, Erasmus University Rotterdam.
6. Shiller R.J. The Volatility of Long Term Interest Rates and Expectations Models of the Term Structure. Journal of Political Economy. 87:1979;1190-1219.
7. Shiller R.J., Campbell J.Y., Schoenholtz K.L. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates. Brookings Papers on Economic Activity. I:1983;173-223.