The expectations hypothesis for the longer end of the term structure : some evidence for Canada / by Ron Lange. : FB3-2/99-20E-PDF
This paper assesses the expectations theory for Canada using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis, (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post tests of the rational expectations hypothesis.--Introduction
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | The expectations hypothesis for the longer end of the term structure : some evidence for Canada / by Ron Lange. |
| Series title | Bank of Canada working paper1701-939799-20 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "This paper assesses the expectations theory for Canada using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis, (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post tests of the rational expectations hypothesis."--Introduction. The catalogue number (FB3-2/99-20E) and ISBN (0-662-28413-5) for the print edition have been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada December 1999. |
| Description | 36p.graphs, references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Interest rates |
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