Bulkley, George; Harris, Richard D.F.; Nawosah, Vivekanand - In: Journal of Banking & Finance 35 (2011) 5, pp. 1202-1212
The expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero-coupon bond yields, we show that evidence against the expectations hypothesis is...