Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61264 
Year of Publication: 
1998
Series/Report no.: 
SFB 373 Discussion Paper No. 1998,78
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to unanticipated changes of the very short rate. In contrast to cointegration tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of interest rates.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
288.01 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.