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"Peso Problem" Explanations for Term Structure Anomalies
Bekaert, Geert - 1997
We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...
Persistent link: https://www.econbiz.de/10012472666
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"Peso Problem" Explanations for Term Structure Anomalies
Bekaert, Geert; Hodrick, Robert J.; Marshall, David Aaron - 2021
We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...
Persistent link: https://www.econbiz.de/10013232709
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The term structure of expectations
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021
Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using …
Persistent link: https://www.econbiz.de/10012660381
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The impact of monetary policy on expectations along the yield curve
Böck, Maximilian; Feldkircher, Martin - 2020
Persistent link: https://www.econbiz.de/10012424477
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767
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Yield curve and monetary policy expectations in small open economies
Bong, Kwan Soo; Doh, Taeyoung; Park, Woong-yong - 2014
Persistent link: https://www.econbiz.de/10010477718
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Some Lessons from the Yield Curve
Campbell, John Y. - 1995
This paper reviews the literature on the relation between short- and long-term interest rates. It summarizes the mixed evidence on the expectations hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations...
Persistent link: https://www.econbiz.de/10012473862
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A Model of Target Changes and the Term Structure of Interest Rates
Balduzzi, Pierluigi - 1993
We explore the effects of official targeting policy on the term-structure of nominal interest rates, adapting relevant insights from theoretical work on "peso problems" to account for realistic infrequency of target changes. Our analysis of daily U.S. interest rates and newly available...
Persistent link: https://www.econbiz.de/10012474612
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Yield Spreads and Interest Rate Movements : A Bird's Eye View
Campbell, John Y. - 1989
The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter … the longer-term bond tends to fall, contrary to the expectations theory; at the same time, the shorter-term interest rate … tends to rise, just as the expectations theory requires. We discuss several possible interpretations of these findings. We …
Persistent link: https://www.econbiz.de/10012475890
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New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
Froot, Kenneth A. - 1987
, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in …
Persistent link: https://www.econbiz.de/10012476705