Authors: William E. Shambora
Addresses: 335 Bentley Annex, Ohio University, Athens, OH 45701, USA
Abstract: This paper examines inferences from two traditional tests of Expectations Hypothesis of the Term Structure (EHTS) under various models of the data generating process of the short-term interest rate. It is found that inference from these tests can be different under different models and that some of the tests most likely to support EHTS are those that are the least powerful.
Keywords: Expectations Hypothesis of the Term Structure; EHTS; interest rates; expectations theory; asset price modelling; tests.
Global Business and Economics Review, 2006 Vol.8 No.3/4, pp.206 - 216
Published online: 22 Jun 2006 *Full-text access for editors Access for subscribers Purchase this article Comment on this article