Modelling the Yield Curve /

We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, i...

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Bibliografiska uppgifter
Huvudupphovsman: Taylor, Mark
Materialtyp: Tidskrift
Språk:English
Publicerad: Washington, D.C. : International Monetary Fund, 1991.
Serie:IMF Working Papers; Working Paper ; No. 1991/134
Länkar:Full text available on IMF
Beskrivning
Sammanfattning:We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium.
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Fysisk beskrivning:1 online resource (38 pages)
Materialtyp:Mode of access: Internet
ISSN:1018-5941
Tillgång:Electronic access restricted to authorized BRAC University faculty, staff and students