JONDEAU, Eric; RICART, Roland - In: Annales d'Economie et de Statistique (1998) 52, pp. 1-22
This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Adopting the approach proposed by Campbell and Shiller [1991], we obtain ambiguous results, similar to the puzzle highlighted by these authors with US data. Analyzing stationarity of excess...