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Does the choice of interest rate data matter for the results of tests of the expectations hypothesis - some results for the UK
Nielsen, Christian Mose, (2007)
THE INFORMATION CONTENT OF THE TERM STRUCTURE OF INTEREST RATES ABOUT FUTURE INFLATION-AN ILLUSTRATION OF THE IMPORTANCE OF ACCOUNTING FOR A TIME-VARYING REAL INTEREST RATE AND INFLATION RISK PREMIUM
NIELSEN, CHRISTIAN MOSE, (2006)
The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium