
The Library
Testing the expectations theory of the term structure of interest rates in threshold models
Tools
Clements, Michael P. and Galvão, Ana Beatriz C. (Ana Beatriz Camatari) (2003) Testing the expectations theory of the term structure of interest rates in threshold models. Macroeconomic Dynamics, Vol.7 (No.4). pp. 567-585. doi:10.1017/S1365100502020163 ISSN 1365-1005.
![]()
|
PDF
WRAP_Clements_Testing_expectations.pdf - Requires a PDF viewer. Download (282Kb) |
Official URL: http://dx.doi.org/10.1017/S1365100502020163
Abstract
We test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the spread. The nonlinear system is tested against a linear system, and the results of testing the expectations theory in both models are contrasted. We find that the results of tests of the implications of the expectations theory depend on the size and sign of the spread. The long maturity spread predicts future changes of the short rate only when it is high.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Interest rates -- United States -- Econometric models, Rational expectations (Economic theory), Economic forecasting -- United States, Nonlinear systems | ||||
Journal or Publication Title: | Macroeconomic Dynamics | ||||
Publisher: | Cambridge University Press | ||||
ISSN: | 1365-1005 | ||||
Official Date: | September 2003 | ||||
Dates: |
|
||||
Volume: | Vol.7 | ||||
Number: | No.4 | ||||
Page Range: | pp. 567-585 | ||||
DOI: | 10.1017/S1365100502020163 | ||||
Status: | Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||
Grant number: | L138251009 (ESRC) |
Request changes or add full text files to a record
Repository staff actions (login required)
![]() |
View Item |
Downloads
Downloads per month over past year