The expectations hypothesis for the longer end of the term structure : some evidence for Canada / by Ron Lange. : FB3-2/99-20E
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 | Working paper1192-543499-20 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 1999. |
| Binding | Softcover |
| Description | v, 27p. : graphs, references, tables ; 28 cm. |
| ISBN | 0-662-28413-5 |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Interest rates |
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