Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61264
Authors: 
Nautz, Dieter
Wolters, Jürgen
Year of Publication: 
1998
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,78
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

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