Tests of the expectations hypothesis and policy reaction to the term spread: some comparative evidence

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Boero, Gianna; Torricelli, Costanza;
  • Publisher: University of Warwick, Department of Economics
  • Subject: HB

The aim of this paper is to evaluate the impact of monetary policy in tests of the Expectations Hypothesis of the term structure of interest rates. We apply the model developed by McCallum (1994b), in which the Expectations Hypothesis interacts with a policy reaction fu... View more
  • References (4)

    Bekaert, Hodrick and Marshall, 1997, On biases in tests of the expectations hypothesis of the term structure of interest rates, Journal of Financial Economics, 44, 309-348.

    Boero G., F. Madjlessi F. and C. Torricelli, 1996, The information in the term structure of German interest rates, Proceedings of the VI International AFIR Colloquium, Nürnberg, October 1996, VVW Karlsruhe.

    Boero G. and C.Torricelli, 1997, The Expectations Hypothesis of the term structure of interest rates: evidence for Germany, Contributi di ricerca CRENOS, n. 4, Università di Cagliari, settembre.

    Campbell J.Y. and R.J. Shiller, 1991, Yield spread and interest rate movements: a 0.76 0.95 0.02 0.68 0.92 0.50 0.64 0.84 1.86 0.51 0.89**

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