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Testing the expectations theory of the term structure of interest rates in threshold models
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UNSPECIFIED. (2003) Testing the expectations theory of the term structure of interest rates in threshold models. MACROECONOMIC DYNAMICS, 7 (4). pp. 567-585. ISSN 1365-1005
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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 > HC Economic History and Conditions |
| Journal or Publication Title: | MACROECONOMIC DYNAMICS |
| Publisher: | CAMBRIDGE UNIV PRESS |
| ISSN: | 1365-1005 |
| Date: | September 2003 |
| Volume: | 7 |
| Number: | 4 |
| Number of Pages: | 19 |
| Page Range: | pp. 567-585 |
| Identification Number: | 10.1017/S1365100502020163 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/9322 |
Data sourced from Thomson Reuters' Web of Knowledge
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