Modelling the Yield Curve

Taylor, Mark P

We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium

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Year of publication:	1991
Authors:	Taylor, Mark P.
Other Persons:	Taylor, Mark P. (contributor)
Publisher:	Washington, D.C : International Monetary Fund
Subject:	Zinsstruktur \| Yield curve \| Großbritannien \| United Kingdom \| Theorie \| Theory \| Zinsderivat \| Interest rate derivative \| Rationale Erwartung \| Rational expectations

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Erscheint auch als (Druck-Ausgabe):

Taylor, Mark. Modelling the Yield Curve. - Washington, D.C. : International Monetary Fund, 1991

Persistent link: https://www.econbiz.de/10014395929