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...

Descripción completa

Detalles Bibliográficos
Autor principal: Taylor, Mark
Formato: Revista
Lenguaje:English
Publicado: Washington, D.C. : International Monetary Fund, 1991.
Colección:IMF Working Papers; Working Paper ; No. 1991/134
Acceso en línea:Full text available on IMF