Change in the Evidence against the Expectations Hypothesis of the Term Structure of Interest Rates

• 발행기관: 한국자료분석학회
• 저자명: 송봉주(Bongju Song)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.1, 69~79쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.02.28

영문 초록

The EH (expectations hypothesis) is one of the main issues in the term structure of interest rates. Many papers try to test the EH in financial economics and investigate whether the EH holds in different settings. In this paper, we investigate how the evidence against the EH has changed over time, based on the Fama-Bliss regression and the Cochrane-Piazzesi regression. Furthermore, we try to find a statistical method in order to explain why the evidence against the EH has changed. Our results are as follow. Firstly, we find that the evidence against the EH has diminished over time based on the Fama-Bliss regression and the Cochrane-Piazzesi regression. Secondly, we show statistically that the overreaction hypothesis can be adequate in explaining why the evidence against the EH has weakened over time.

목차

1. Introduction

2. The Models of the Expectation Hypothesis

3. Data

4. Test Results of the Expectation Hypothesis

5. The Potential Explanation for the Rejection of the EH

6. Conclusion

References

키워드

The term structure of interest rates the expectations hypothesis the Fama-Bliss regression the Cochrane-Piazzesi regression the overreaction hypothesis