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

被引：13

作者：

Hsu, C ^{[1
]}

Kugler, P ^{[1
]}

机构：

[1] UNIV BERN,DEPT APPL MACROECON,CH-3012 BERN,SWITZERLAND

来源：

ECONOMICS LETTERS | 1997年 / 55卷 / 01期

关键词：

term structure; predictive power; policy response;

D O I：

10.1016/S0165-1765(97)00039-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

US interest rate data from 1987 to 1995 show a substantial predictive power of the spread for the short rate in line with the expectations hypothesis. The estimation of a McCallum policy reaction model supports our conjecture that this striking result can be attributed to the adoption of the spread as an indicator for US monetary policy since the late eighties. (C) 1997 Elsevier Science S.A.

引用

页码：115 / 120

页数：6

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[2]

[Anonymous], MARKET VOLATILITY

[3]

BALDUZZI P, 1993, NBER WORKING PAPER, V4347

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