Della Corte, Pasquale; Sarno, Lucio; Thornton, Daniel L. - 2008
This paper reexamines the validity of the expectation hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to 3 months. We extend the work of Longstaff [2000b. The term Structure of very short term rates: new evidence for the expectations hypothesis. journal...