The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates

Détails

ID Serval
serval:BIB_8B2B54779574
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates
Périodique
Journal of International Money and Finance
Auteur⸱e⸱s
Jondeau E., Ricart R.
ISSN
0261-5606
Statut éditorial
Publié
Date de publication
1999
Peer-reviewed
Oui
Volume
18
Numéro
5
Pages
725-750
Langue
anglais
Résumé
This paper tests the expectations hypothesis of the term structure on US, German, French, and UK Euro-rates. Three tests are examined: the first is based on forward rates and the other two are based on the interest rates spread. First, we show that the ?sign puzzle' highlighted by Campbell and Shiller (Campbell, J.Y., Shiller, R.J., 1991. Yield spreads and interest rate movements: a bird's eye view. Review of Economic Studies 58, 495?514) for US data does not arise in the cases of French and UK short-term rates. Second, we propose tests for the expectations hypothesis based on error-correction models. With these tests the sign puzzle disappears, but the ?country puzzle' remains.
Mots-clé
Term structure of interest rates, Expectations hypothesis, Error-correction model
Web of science
Création de la notice
19/11/2007 10:38
Dernière modification de la notice
20/08/2019 14:49
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