A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates

Conventional approaches to examining the expectation hypothesis of interest rates assume a parametric linear specification among variables. In contrast, this paper tests the hypothesis using a flexible nonlinear inference approach proposed by Hamilton (20

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Year of publication:	2014-06-23
Authors:	Sahut, Jean-Michel
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	Term structure of interest rates \| Non linearity \| expectation hypothesis \| flexible models

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-352 16 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; C22 - Time-Series Models ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010784870