The term structure of very short-term rates: New evidence for the expectations hypothesis

Journal of Financial Economics - Tập 58 - Trang 397-415 - 2000
Francis A. Longstaff1
1Department of Finance, The Anderson School at UCLA, Los Angeles, CA 90095-1481, USA

Tài liệu tham khảo

Ang, A., Bekaert, G., 1998. Regime switches in interest rates. NBER working paper 6508. Ang, A., Bekaert, G., 1999. International asset allocation with time-varying correlations. NBER working paper 7056. Backus, D., Foresi, S., Mozumdar, A., Wu, L., 1998. Predictable changes in yields and forward rates. NBER working paper 6379. Balduzzi, 1997, A model of target changes and the term structure of interest rates, Journal of Monetary Economics, 29, 223, 10.1016/S0304-3932(97)00010-X Bekaert, 1997, On biases in tests of the expectations hypothesis of the term structure of interest rates, Journal of Financial Economics, 44, 309, 10.1016/S0304-405X(97)00007-X Buser, S., Karolyi, G., Sanders, A., 1996. Adjusted forward rates as predictors of future spot rates. Journal of Fixed Income 6, 29–42. Campbell, 1986, A defense of traditional hypotheses about the term structure of interest rates, Journal of Finance, 41, 183, 10.2307/2328351 Campbell, 1996 Campbell, 1991, Yield spreads and interest rate movements: a bird's eye view, Review of Economic Studies, 58, 495, 10.2307/2298008 Cox, 1981, A reexamination of traditional hypotheses about the term structure of interest rates, Journal of Finance, 36, 321, 10.2307/2327547 Duffee, 1996, Idiosyncratic variation of Treasury bill yields, Journal of Finance, 51, 527, 10.2307/2329370 Duffie, 1996, Special repo rates, Journal of Finance, 51, 493, 10.2307/2329369 Fama, 1984, The information in the term structure, Journal of Financial Economics, 13, 509, 10.1016/0304-405X(84)90013-8 Fama, 1984, Term premiums in bond returns, Journal of Financial Economics, 13, 529, 10.1016/0304-405X(84)90014-X Fama, 1987, The information in long-maturity rates, American Economic Review, 77, 680 Fisher, 1896, Appreciation and interest, Publications of the American Economic Association, 11, 21 Fisher, 1998, Around and around: the expectations hypothesis, Journal of Finance, 53, 365, 10.1111/0022-1082.145490 Froot, 1989, New hope for the expectations hypothesis of the term structure of interest rates, Journal of Finance, 44, 283, 10.2307/2328591 Fuller, 1976 Gray, 1996, Modeling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics, 42, 27, 10.1016/0304-405X(96)00875-6 Hansen, 1980, Forward rates as optimal predictors of future spot rates, Journal of Political Economy, 88, 829, 10.1086/260910 Kamara, 1994, Liquidity, taxes, and short-term Treasury yields, Journal of Financial and Quantitative Analysis, 29, 403, 10.2307/2331337 Longstaff, 1995, How much can marketability affect security values?, The Journal of Finance, 50, 1767, 10.2307/2329335 Longstaff, 2000, Arbitrage and the expectations hypothesis, Journal of Finance, 55, 989, 10.1111/0022-1082.00234 Longstaff, 1995, A simple approach to valuing risky fixed and floating rate debt, Journal of Finance, 50, 789, 10.2307/2329288 McCulloch, 1987, The monotonicity of the term premium: a closer look, Journal of Financial Economics, 18, 185, 10.1016/0304-405X(87)90068-7 McCulloch, 1993, A reexamination of traditional hypotheses about the term structure: A comment, Journal of Finance, 48, 779, 10.2307/2328924 Richardson, 1992, The monotonicity of the term premium: another look, Journal of Financial Economics, 31, 97, 10.1016/0304-405X(92)90013-N Roberds, 1996, A daily view of yield spreads and short-term interest rate movements, Journal of Money, Credit, and Banking, 28, 34, 10.2307/2077965 Roll, 1970 Sarig, 1989, Some empirical estimates of the risk structure of interest rates, Journal of Finance, 44, 1351, 10.2307/2328646 Shiller, 1983, Forward rates and future policy: interpreting the term structure of interest rates, Brookings Papers on Economic Activity, 1, 173, 10.2307/2534355 Stambaugh, 1988, The information in the forward rates: implications for models of the term structure, Journal of Financial Economics, 21, 41, 10.1016/0304-405X(88)90031-1 Stigum, M., 1989. The Repo and Reverse Markets. Richard D. Irwin, Burr Ridge, Ill. Stigum, M., 1990. The Money Market, 3rd Edition. Richard D. Irwin, Burr Ridge, Ill.